Both your domain name and your pages URLs are important to the search engine spiders, so try to use your keywords there. As a rule, use underscores, or better yet, hyphens to separate your keywords. While certain engines will not care whether the words are separated, some of the major ones, such as Google, do.
Last I heard; Google treats hyphens just like a person treats a space when reading. But it sounds like they pretty much don’t even register underscores - so hyphens are my seperator of choice.
