Something worn with diamonds, say (4)
I believe the answer is:
suit
This clue is a double definition.
'something worn' is the first definition.
(type of clothing)
'diamonds say' is the second definition.
(diamonds are a playing card suit)
'with' acts as a link.
(Other definitions for suit that I've seen before include "Befit" , "See 7" , "C, D, H or S" , "One of four in a pack" , "Set of cards" .)