To me, steampunk and urban fantasy are naturally hinged together. And I think that's because I love the early gothic Victorian literature, and both things spring from that movement.
As for genre, my adult books are usually filed under science fiction / fantasy, although some stores put them into romance, and few have stuck them into horror. I consider all my books a mix of steampunk and urban fantasy.
I like certain subgenres within science fiction and fantasy, and one of those is urban fantasy, and another is steampunk.