Cover up, lady, and turn the heat on (7)
I believe the answer is:
sheathe
'cover up' is the definition.
'sheathe' can be an answer for 'cover' (to sheathe something is to cover it). I am not sure about the 'up' bit.
'lady and turn the heat on' is the wordplay.
'lady' becomes 'she' (I've seen this before).
'and' says to put letters next to each other.
'turn the heat on' becomes 'athe' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'she'+'athe'='SHEATHE'
Can you help me to learn more?
(Other definitions for sheathe that I've seen before include "Put away (a sword)" , "Put (a sword) into its holder" , "stow away safely" , "Cover in case" , "Put (a sword) it its cover" .)