They say you had a go above with the cheese! (5)
I believe the answer is:
gouda
'cheese' is the definition.
(Gouda is an example)
'they say you had a go above' is the wordplay.
'they say' indicates a 'sounds like' (homophone) clue.
'had' becomes 'd' (I've seen this in other clues).
'above' means one lot of letters go next to another (in a down clue, some letters go above others).
'you' is a homophone of 'u'.
'u'+'d'+'a'='uda'
'uda' put after 'go' is 'GOUDA'.
'with the' acts as a link.
(Other definitions for gouda that I've seen before include "Mild Dutch cheese" , "Dutch town" , "Dutch 4 across" , "It comes from Holland" , "Round Dutch cheese" .)