Warmth retained by building that's covered (8)
I believe the answer is:
sheathed
'covered' is the definition.
(sheathing is a kind of covering)
'warmth retained by building' is the wordplay.
'warmth' becomes 'heat' (synonyms).
'retained by' is an insertion indicator.
'building' becomes 'shed' (shed is a kind of building).
'heat' going into 'shed' is 'SHEATHED'.
'that's' is the link.
(Other definitions for sheathed that I've seen before include "in a case like this" , "Put sword back in covering" , "Encased in close-fitting covering - say sword" , "Covered for protection" , "put in protective cover" .)