Wander — somewhere in Italy, you say? (4)
I believe the answer is:
roam
'wander' is the definition.
(I know this)
'somewhere in italy you say?' is the wordplay.
'somewhere in italy' becomes 'rome' (capital of Italy).
'you say?' indicates a 'sounds like' (homophone) clue.
'rome' is a homophone of 'ROAM'.
(Other definitions for roam that I've seen before include "Walk without a specific destination" , "Ramble without purpose" , "Peregrinate" , "range" , "Move about aimlessly" .)