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.
More top news
Cloudy with outbreaks of rain and strong winds too. The rain persistent and at times heavy over high ground.
After a mostly dry evening with a few scattered showers, cloud and outbreaks of showery rain will spread northeast through the night.
Tributes have been paid to former Wales international Mel Charles, who has died at the age of 81.