Wander in Italian city, say (4)
I believe the answer is:
roam
'wander' is the definition.
(I know that wander can be written as roam)
'italian city say' is the wordplay.
'italian city' becomes 'Rome' (city in Italy).
'say' shows a homophone (sound like).
'rome' is a homophone of 'ROAM'.
'in' acts as a link.
(Other definitions for roam that I've seen before include "Stray" , "Ramble without purpose" , "Meander" , "Move about aimlessly" , "'Wander, ramble (4)'" .)