If you're in America, we also don't usually say cinema (we say "movie theater") so it might take a second for them to understand. If you're not in America, don't worry cinema is right :)
If someone asks you where you are, you would say "I'm at the cinema", but if someone asked you where you saw a movie after it is out on Bluray you would say "I saw it in the cinema". If you mix the two phrases up it will be less natural, but the person will still understand what you are trying to say.