"Bei" is correct ... When you doing something( in action ) like swimming for example .. You use : Beim Schwimmen , Beim Sport....

You normally use "bei" - "beim" is used when it's written before an indirect object. Btw: adjectives are written with a lowercase letter at the beginning and Beijing is called "Peking" in German.

"Bei" is fine. (And it should be "schön" instead of "Schön".)