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This is a post from Blumenthal on the subject --> http://blumenthals.com/blog/2012/08/03/step-by-step-guide-to-the-google-businesslocal-merge-verification-process/
This is from Google Product Forums --> http://productforums.google.com/forum/#!category-topic/business/cLdShAg9xYs[1-25-false]
In short yes, I have found you will need to create seperate pages for each location. This is a pain in my opinion and is something I wish G+ would clean up.
A local Wordpress developer friend of mine had tried using the Parallax theme. Halfway through the project he stopped due to how hard of a theme it was to hack, I believe he later used a Genesis Theme.
When it comes to the structure of the theme it does not seem to be the most SEO friendly. Though I have no personal experience with it I would advise against it.