Escape an insect, say (4)
I believe the answer is:
flee
'escape' is the definition.
(I know that escape is a more specific form of the action flee)
'an insect say' is the wordplay.
'an insect' becomes 'flea' (flea is a kind of insect).
'say' shows a homophone (sound like).
'flea' is a homophone of 'FLEE'.
(Other definitions for flee that I've seen before include "Run (from danger)" , "head for the hills" , "Cut and run" , "Turn tail" , "Leave" .)