Before anyone points out 'We don't say cinema in the US', be aware that Emarbe says on her profile that she wants to use British English. So there's no need to 'correct' her on her usage. It is quite normal for a European learner to want to speak British English....
But back to the question. You can use 'in' or 'at' with cinema, or any other place, such as bank, supermarket and so on, and there often isn't a great deal of difference. 'In' means inside, while 'at' is more general.
When you see 'cinemas' in the plural, 'in' is more normal e.g. 'This film will be in cinemas all over the country'.
In the singular, 'at' tends to be used when we refer to the function of the cinema (i.e. watching films), while 'in' tends to be used to refer to the interior of the building itself. Compare these two sentences:
I saw this film at the Odeon cinema last week.
When the bomb went off, the police told people to shelter in the Odeon cinema.