\usepackage{url}

%% Define a new 'leo' style for the package that will use a smaller font.
\makeatletter
\def\url@leostyle{%
  \@ifundefined{selectfont}{\def\UrlFont{\sf}}{\def\UrlFont{\small\ttfamily}}}
\makeatother
%% Now actually use the newly defined style.
\urlstyle{leo}