Gone to collect windcheater, finally given a coat (9)
I believe the answer is:
varnished
'given a coat' is the definition.
'gone to collect windcheater finally' is the wordplay.
'gone' becomes 'vanished' (I've seen this before).
'to collect' indicates putting letters inside.
'finally' says to take the final letters.
The last letter of 'windcheater' is 'r'.
'vanished' placed around 'r' is 'VARNISHED'.
(Other definitions for varnished that I've seen before include "Stained and protected" , "Put on a hard transparent coating" , "glossed over" , "given protective coating" , "with a coat on" .)