Yes to "the" and it depends to "at". "in" would often be more usual :
He works in the Fung King Hey Building.
"at" is usually used for a place which is both inside and outside, and when you're being vague about exactly where the person is - eg :
He works at the station. Does he work in the ticket office, or outside on the platform? Similarly
at the hospital,
at the university - all three places are large areas with both buildings (inside) and grounds or outside areas. But a building, by definition is generally "inside".
You might however say :
I'll meet you at the Fung King Hey Building, where you're not actually specifying if you want to meet inside or outside.
For other differences in the use of "at" and "in" with institutions, see here :
in or at