Claiming soldiers last played sad musical pieces (7)
I believe the answer is:
laments
'sad musical pieces' is the definition.
(a lament is a musical piece for the dead)
'claiming soldiers last played' is the wordplay.
'claiming' indicates putting letters inside.
'soldiers' becomes 'men' (I've seen this before).
'played' indicates an anagram.
'last' anagrammed gives 'lats'.
'men' put within 'lats' is 'LAMENTS'.
(Other definitions for laments that I've seen before include "Sad songs" , "Feels regret" , "Bewails" , "Bemoans" , "complaints" .)