Hey Sander,
Anders hit the nail on the head - but I felt I needed to add a bit of information. Be careful how you decide to add location to your URLs, as it could potentially hurt your rankings. There is much more involved in local search relevance than just a city or state name being included in a URL.
Also, it could seem "spammy" if your website becomes overrun with local tags. I would suggest setting up a structured URL, for exampls "www.company.com/Nevada/Las-Vegas/Products"
This way your URLs are serving 2 purposes - thoughtful organization and helping out with your keyword strategy.
Best,
Christopher