What is the best way to optimize for local search?

I created an online basketball training service. One of the searches people do is "basketball trainer near me" or "basketball trainer in San Francisco." Because I do online training, I could optimize for most cities.

How should I best take advantage of this traffic opportunity?

For example, do I set-up:

www.mainurl.com/San-Francisco
www.mainurl.com/Tampa-Bay
etc..

Is there a better way to do localized search in this case?

Thoughts?