From the index of items in the 'Cambrian' newspaper, Swansea, from 1804
onwards
http://www.swansea.gov.uk/index.cfm?articleid=5673
BIRTHS 01 March 1823 TO CAPTAIN AND MRS.BENNETT, AT MILFORD, A SON.
MARRIAGES, MARRIAGE 26 May 1838 MR WM. BENNETT, MASTER OF COMMERCE -
TO MISS ANNE BENNETT, BOTH OF MILFORD-AT STAINTON.
DEATHS, DEATH NOTICES 13 June 1862 AT MILFORD,MR.BENNETT,37,INSPECTOR
TO MESSRS SMITH,CONTRACTORS FOR GOVERNMENT WORKS.
In early 19th century Milford Haven was known as Milford or New Milford.
The first two entries seem to refer to one or more Mr BENNETT who was
master of a merchant vessel. May or may not be connected to yours.
http://www.genuki.org.uk/big/wal/PEM/MilfordHaven/index.html
The local parish seems to have been Stainton/Steynton
If you look at Rootsweb mailing lists, Dyfed list covers Pembrokeshire.
Hope this helps
Jeff