in or at...grammar check

"In" is the correct preposition to use in the example you mentioned because you're referring to a city. You always use in for that. "At" is used to refer to a more specific location, say "I'll meet you at the store."

"In" implies an area or, perhaps, a building within which one resides. Every place name whether it is the tiniest village or the largest city is the name of an area. "At", "by", "next to", "near", "on", "under" and so on are more specific about location, so you might live on Paradise Street or at the intersection with Eden Avenue; next to or near the temple, under the overpass or on the hill. You may go to a stall in (= as part of) the market but if someone visited the market they might well talk about something that happened there by saying "While I was at the market, ...". Similarly, one may live or stay or work in Madras but a specific event, such as a riot, may happen in various parts of it so could either be described as happening in Madras or at Madras (as opposed to Calcutta). "In" implies an appreciable area; "at" means a particular location or point. Sometimes the usage is relative. It is correct to say: "Whilst I was in India, I took some photos at(or in) Madras and some at (or in) Calcutta." or "When I was at Pondicherry, I spent a great deal of time in the museum."

'At' is used to denote a small place like a village or a small town whereas 'in' is used to denote a bigger place like a city or a country. So, the correct forms should be- 'I live in Pondicherry'. 'I live in London'. 'I live in Chicago'. But when you use two such locations like London and UK, Chicago and USA, you should use 'at' before the smaller of the two and 'in' before the bigger of the two. For example, I live at London in UK, I live at Juhu in Mumbai.