Hi Gayane,
It really comes down to a question of budget. Having a site for each location will allow you to be the most geo-targeted but if you have 5 different locations, that essentially means 5 SEO budgets. 5 lots of content (all having to be completely unique), 5x the link profiles and 5x the monitoring, planning and general campaign management.
In reality, the best option for most of us is to use a single site for all areas. Since Google looks at a lot of domain-wide metrics these days, it means if you're boosting content and links to your Las Vegas page, your LA page is going to benefit from that to an extent as well.
Rather than go into detail with ideas on how to do it, check out Rand's Whiteboard Friday on the topic.
I hope that helps!