That lady's keeping warm, getting cover (7)
I believe the answer is:
sheathe
'cover' is the definition.
(to sheathe something is to cover it)
'that lady's keeping warm' is the wordplay.
'that lady' becomes 'she' ('she' refers to a woman).
'keeping' means one lot of letters goes inside another (some letters kept inside).
'warm' becomes 'heat'.
'she' placed around 'heat' is 'SHEATHE'.
'getting' is the link.
(Other definitions for sheathe that I've seen before include "Put (a sword) it its cover" , "Put into scabbard" , "Cover in case" , "stow away safely" , "Put (a sword) into case" .)