Hi qccka3849, not easy to trace are they 
I think that WO 68/74 at the National Archives contained lots of information when trying to find when Philip was present.
I have extra years and locations for the above, which may be of use to you:
1792 - Pemb Militia reformed
1793 - Marched Hereford to Worcester
1795 - Holt and Warham in Norfolk
1805 - Colchester
And:
- Exeter Flying Post, 22 May 1800: Pembroke Milita to be reduced to 172 rank and file
- [Forgot to write down publication]16 Dec 1802 - Haverfordwest: Lord Nelson visited Haverfordwest. Band of the Pembroke Milita.
Good luck!
Many thanks for that WO 68/74 National Archives reference (I shall make a note to look through that collection) and the other additional information! I very much appreciate it!
