The most common and most likely answer to this crossword clue is the 4 plus 11 letter word LIVE DANGEROUSLY
I've seen this crossword clue in The Daily Telegraph
L
I
V
E
D
A
N
G
E
R
O
U
S
L
Y
Buddy explains!
The straight part
We know that "play with fire" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case play with fire = live dangerously.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.