Complex place names in English which incorporate what could be a common noun (bulding, hotel, restaurant, etc) are torn between two rules. The first is that names in English don't usually have an article:
He works for
Microsoft in
Washington.
Following that rule you get complex place names such as :
He stayed in
Queens Hotel in
Acacia Road in
Crystal Palace
We visited
Westminster Abbey.
They're refurbishing
Charing Cross Station.
She lives in
Buckingham Palace.
The second that a common noun with specific reference takes the definite article :
We stayed in
the best hotel in
the town.
following that rule you get :
We stayed in
the Clarendon Hotel in
the High Street.
We visited
the British Museum.
We went to the top of
the Empire State Building.
Some of these nouns tend to go one way or the other, while some (like
Hotel) are frequently found in both forms. All the examples I've found with "building" use the article, and I can't imagine it being used without, so I'd advise you always to use it :
We saw
the Chrysler Building.
He works in
the Swiss Re Building.
The Biochemistry Department is located in
the Henry Wellcome Building
but I'm sure there are counter-examples out there somewhere