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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Sunny spells during the evening with isolated showers easing away, although it will cool off quite quickly.
Welsh soldiers have joined hundreds of others from across the country training in Norfolk.