Well, it depends who you ask. The thing to remember is that taxonomy is simply an organizational system set up by humans for humans, and doesn't necessarily reflect the reality of historical species relationships (although for cladistic taxonomy - which is the leading model - that's the goal we're shooting for). Apparently right now some people place them in Iguanidae, while others support splitting that family into several smaller families, in which case they are put in Phrynosomatidae. Since the taxonomic level "family" is pretty arbitrary anyway, it depends which side of the debate you choose.
Eventually everyone working on lizards will probably agree on one or the other, or possibly some alternate (and may have already), but it really is just a matter of consensus, not actually an important, meaningful difference. I know that's probably not a very satisfying answer, but any catagorization above the level of species really is just more a matter of convenience for biologists than anything else, so when there are disagreements it really does simply become a matter of which one you like best (though people involved in the debate would likely disagree). The only thing is that you should choose one or the other and not jump back and forth between the two.
Sorry, that's probably the most honest answer you're likely to get. Given that the most recent work I've seen that addresses the issue at all, (Introduction to Horned Lizards of North America, by Wade Sherbrooke mentions both possible schemes without definitively choosing one or the other, I'd say either is acceptable.