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
Three men have been arrested after an incident this morning in Cardiff. Two people are in a stable condition in hospital.
Pictures posted on twitter show an officer with a bandage around his head and blood on his neck
Gruffydd Wyn Roberts, a 22-year-old from Amlwch on Anglesey, received a standing ovation as he performed Nessun Dorma.