As of OpenTTD 13.4 (July 2023) Note: If you opted to set up a Road Vehicle Network earlier on, skip this part.

Trains are great at carrying lots of things far, fast. But what if you find a coal mine making hardly any coal, but close to one of your existing stations? Trains are too expensive for that, at least early on. (Eventually, the industry will increase production to the point that a train makes sense, as long as you "buy" from it, unless you changed some settings, but that takes time.) That's where Road Vehicles come in. Road Vehicles cost a lot less to buy and run, so you hopefully won't loss money.

First find a coal mine close to one of your pickup stations, without much water in between.

Build a road between the coal mine and the station nearby, as though they were tracks.

Under Road Vehicles, buy a depot, just like you did with the trains, and put it close to the coal mine.

Select LORRY station and place down a station touching the train station, or nearby and Ctrl+Place down and select the train station's name. Place down another LORRY station near the coal depot. Then, buy a coal truck.

Then, give the orders like with the train, only this time use "Transfer and leace empty" at the train station. This makes it so that the train will take the coal afterwards. Then Ctrl+clone the vehicle a few times. You're good to go.

Watch your trucks head off, and enjoy.