There are three books by Martin Connop-Price which cover the industry associated with the coalmining in the Saundersfoot district. The first is an Oakwood Press No 28, The saundersfoot Railway ISBN0-85361-382-6 which I think is still on some bookstore shelves. The second is Industrial Saundersfoot ISBN 0-85088-866-2 which is out of print but can be found in online second hand bookshops. The other is Pembrokeshire, The forgotten Coalfield which is still in print Landmark Publishing ISBN 1-84306-127-9.
Roscoe Howells book Old Saundersfoot has some good photos in (supplied by my collection) newly reprinted by Gomer Press ISBN 1-84323-240-5.
The Story of Begelly by W.R.Morgan ISBN 0-85088-703-8 well out of print but nice photos and mining information.
Pembrokeshire, The Forgotten Coalfield!