We report measurements of the coefficient of linear thermal expansion, $alpha (T)$, of the superconducting ferromagnet UCoGe. The data taken on a single-crystalline sample along the orthorhombic crystal axes reveal a pronounced anisotropy, with the largest length changes along the $b$ axis. The large values of the step sizes $Delta alpha$ at the magnetic and superconducting phase transitions provide solid evidence for bulk magnetism and superconductivity. Specific-heat measurements corroborate bulk superconductivity. Thermal-expansion measurements in magnetic fields $B parallel a,b$ show $Delta alpha$ at $T_C$ grows rapidly, which indicates the character of the ferromagnetic transition becomes first-order-like.