Dancer might have this on set - on reflection you're getting closer (3,6)
I believe the answer is:
leg warmer
'dancer might have' is the definition.
I know nothing about this answer so I cannot tell whether this works.
'on set on reflection you're getting closer' is the wordplay.
I cannot quite see how this works, but
'on' could be 'leg' (cricket term) and 'leg' is found within the answer.
'closer' could be 'warmer' ('warm' can be similar in meaning to 'close') and 'warmer' is located in the answer.
No letters remain.
This explanation may well be incorrect...
'this' is the link.
Can you help me to learn more?
(Another definition for leg warmer that I've seen is " Singular garment".)