I agree to pocket one thousand? Blimey! (5)
I believe the answer is:
yikes
'blimey' is the definition.
'i agree to pocket one thousand?' is the wordplay.
'i agree' becomes 'yes' (both are affirmative answers).
'to pocket' indicates putting letters inside.
'one' becomes 'i' (Roman numeral).
'thousand?' becomes 'k' ('k' can be a synonym of 'thousand').
'i'+'k'='ik'
'yes' enclosing 'ik' is 'YIKES'.
(Other definitions for yikes that I've seen before include "Watch out" , "Exclamation of surprise or alarm" , "Expression of alarm or astonishment" , "that was hot!" , "Gosh! - Oh no!" .)