Try to do it. Going up, O! Ah! Clumsily gave in (4,1,2)
I believe the answer is:
have a go
'try' is the definition.
(to have a go is to make an attempt)
'up o ah clumsily gave in' is the wordplay.
'up' shows that the letters should be reversed in order (in down clue: letters go upwards).
'clumsily' is an anagram indicator.
'in' is an insertion indicator.
'o'+'ah'='oah'
'oah' reversed gives 'hao'.
'gave' anagrammed gives 'veag'.
'hao' placed around 'veag' is 'HAVE-A-GO'.
'to do it going' acts as a link.
I am not very happy about this link. Some or all of it may belong to another bit of the clue.
Can you help me to learn more?
(Other definitions for have a go that I've seen before include "Intervening to stop a criminal (colloq,)" , "Tackle criminal" , "Words of encouragement" , "Try (to help stop criminal?)" , "try to foil criminal" .)