You should use "at."
I don't know if your goal is to learn British English or American, but just in case it's American: 'cinema' is no longer commonly used in American English. Instead of saying, "we are at the cinema," Americans say, "we are at the theater," or "to see a movie."
We are at the theater. Meet us at the north entrance.
We're going to the theater at 7 pm.
We're going to see a movie on Friday, you're welcome to join us.
I'm going to a movie. Do you want to come?
You could also say,"I'm in the theater," but it means something slightly different. You might say this if you were trying to find someone you planned to meet, to tell him/her your location. It means you are inside the theater building.