Step to entrance, say (4)
I believe the answer is:
gait
'step' is the definition.
(I've seen this in another clue)
'entrance say' is the wordplay.
'entrance' becomes 'gate' (type of entrance).
'say' indicates a 'sounds like' (homophone) clue.
'gate' is a homophone of 'GAIT'.
'to' is the link.
(Other definitions for gait that I've seen before include "Carriage" , "Manner of walking or running" , "Style of walking" , "Bearing" , "Method of moving" .)