Go on foot in a westerly direction (3)
I believe the answer is:
yap
'go on' is the definition.
(both can mean to talk at length)
'foot in a westerly direction' is the wordplay.
'foot in' indicates one should take the final letters (bottom/final letter of - in down clue).
'direction' becomes 'ap' (I can't explain this - if you can you should give a lot more credence to this answer).
The last letter of 'westerly' is 'y'.
'y'+'ap'='YAP'
Can you help me to learn more?
(Other definitions for yap that I've seen before include "High-pitched bark" , "Talk foolishly" , "Small dog's sound" , "Complain shrilly" , "gossip -" .)