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
It will be wet and windy this evening and through much of tonight with some heavy rain at times.
Welsh golfing legend Ian Woosnam has set his sights on securing a home victory at the Wales Senior Open in Newport.
It will be a bright start to Saturday, with some sunny spells. However, cloud and rain will reach the far west by late-afternoon.