You definitely did the right thing.
I know what you mean about feeling uncomfortable, though. It's become scary to try and help a child who is in trouble.
A couple of years ago, I was at my local WalMart in the ladies clothing department, and there was a little girl about 3 or 4 just walking around crying her eyes out. I stopped and asked her if she was lost, and she said yes. Fortunately we were in site of the customer service desk, so I pointed to where the ladies were working and said "will you let me walk you over to the WalMart ladies so they can help find your mommy?" She said yes, so we walked over to the desk and had them page her mom. Well, when Mom showed up, she gave me a look like I'd tried to make off with her kid, and then started yelling at the little girl for not staying with them. I just nodded at the gals behind the counter and went on about my business.
It's sad when you feel weird and creepy about helping a child who is lost, cold, or in a bad situation.....and it makes you wonder how many people just turn around and walk away from the same situation simply so they won't have to get looked at like they're a criminal when all they're trying to do is help.