Wander in capital, say (4)
I believe the answer is:
roam
'wander' is the definition.
(I know that wander can be written as roam)
'capital say' is the wordplay.
'capital' becomes 'Rome' (capital of Italy).
'say' shows a homophone (sound like).
'rome' sounds like 'ROAM'.
'in' is the link.
(Other definitions for roam that I've seen before include "'Wander, ramble (4)'" , "Walk without a specific destination" , "Wander freely" , "Wander widely" , "Peregrinate" .)