He was on his way to a meeting in Pembrokeshire when he noticed the woman dangerously close to traffic.
Coleman is said to have driven around Haverfordwest for half an hour to see if the woman could recognise her home, before calling friends in the town to ask for help.
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Crowds came to hear him speak this afternoon in Bangor - a seat where fewer than 100 votes could make the difference at the next election.
Scattered showers with the odd heavy burst possible but there will be plenty of sunny spells too.
A rather wet and windy evening, with rain in the north and showers elsewhere.