Vice squad heartily entertained — say no more! (4,2)
I believe the answer is:
clam up
'say no more' is the definition.
(to clam up is to stop talking due to nerves)
'vice squad heartily entertained' is the wordplay.
'vice' becomes 'clamp' (I've seen this before).
'heartily' indicates the central letters.
'entertained' is an insertion indicator.
The central letter of 'squad' is 'u'.
'clamp' enclosing 'u' is 'CLAM UP'.
(Other definitions for clam up that I've seen before include "Go silent" , "Keep mum" , "Refuse to talk like large shellfish?" , "Refuse to speak" , "Stop giving out" .)