Wicked elves have to investigate (5)
I believe the answer is:
delve
'investigate' is the definition.
'wicked elves have' is the wordplay.
'have' indicates the answer is hidden within the clue.
'DELVE' is hidden within 'wicked elves'.
'to' is the link.
(Other definitions for delve that I've seen before include "Intensively research (into something)" , "Fish around" , "Make painstaking enquiries (into something)" , "Burrow" , "Hollow" .)