I recently moved to a different location. How can I change the address listed in my steam account?
You don't actually save your address anywhere in Steam.
You can change your location in by modifying your Steam profile, and you can fill out a new billing address when you buy a new game. Before you buy anything, your address isn't used for anything.
The only addresses stored in Steam are billing addresses linked to payment methods. So if you don't have a payment method saved, you won't have any kind of an address.
A billing address can be changed by deleting a previously saved payment method and replacing it with a new one. Payment methods are managed in the Store & Purchase History section of the account details page (available by browser, or via the Steam client at Steam → Settings → Account → View Account Details).