If you are using CodeWarrior for Coldfire V6.x you can just add the #define corresponding to the macro you want to define in the target settings "C/C++ Preprocessor Panel".
This panel can be found in the target setting dialog. Press ALT + F7 to open the dialog.
If you are using an older version of the tools, you have to go through a prefix file.
A prefix file is a header file which is included in each ANSI C source file.
Macros are defined there using #define and you specify the name of your prefix file in the target "C/C++ Language Panel".
I hope this helps.