You can cross at San Luis and take the Coastal Highway to Penasco. It is apparently a toll road for a bit but I understand it is pretty much complete. I know the road to El Golfo is great. There is a post somewhere here on this board describing the route and showing photos. I would guess the new highway should cut significant time off the drive to Penasco from Yuma.
I think it took me somewhere around 90 minutes to go from El Golfo to Penasco on the new road, and I stopped along the way a couple of times to take pictures.