Answer: Your tardy colleague may have no idea that you’re upset, so give her a chance to change her ways. All three of you should meet with her and provide feedback in a calm, straightforward manner.
For example: “Your coming in late every day doesn’t seem fair to the rest of us. However, we wanted to talk with you directly instead of going to the manager. We would really appreciate it if you could be here at 8:30 like everyone else. Is that possible?"
If she becomes angry or defensive, simply change the subject. Having given her fair warning, you can always go to your boss if the problem continues.
If you have issues with a colleague, you may find helpful tips at The Best Way to Complain About Co-workers.