"in" means physically inside the building, while "at" gives more of a sense that building is a location in space (a place on a map, if you want to think of it like that). If you're inside the building then both "in" and "at" are possible. I perceive little practical difference between the two, but I probably have a slight preference for "at" -- unless for some reason it was important and non-obvious that I was actually inside the building, and I wanted to make this clear, in which case I'd use "in".
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