How far should I go along with my dad's Alzheimer's delusions?

My dad has advanced dementia/Alzheimer's Disease. When he has his psychotic episodes, how far should mom and I go along with his delusions? He is very, very strong and quite ambulatory. Tonight we had to physically restrain him from leaving the house to go find a delusional 'pregnant woman who has been d and needs my help'. In desperation, and with tears in his eyes, he begged me to call this imagined woman to make sure she is ok... I've never lied to my father in my life and have no idea how to start now. Diverting his attention does not work when he is manic like this. Sedatives don't work. How does one handle such delusions in an elderly patient with this problem? Thank you... Tracy