Writer appearing in anthologies, say, is thrilled (8)
I believe the answer is:
essayist
'writer' is the definition.
(essayist is a kind of writer)
'in anthologies say is thrilled' is the wordplay.
'in' says the answer is hidden in the clue.
'ESSAYIST' is hidden within 'anthologies say is thrilled'.
'appearing' acts as a link.
(Other definitions for essayist that I've seen before include "Writer (e.g. Lamb)" , "Writer of short compositions" , "kind of writer" , "Montaigne, say" , "Writer of pieces on various subjects" .)