Are preliminary hearings ever right inthe jail building or are the inmates always transfered to the courthouse?

Since the preliminary hearing is a court activity, presided over by a judge, it would be held in the presence of a judge. Unless something prevented the accused from getting there and the judge decided to hold it elsewhere, it usually is in a court room. The hearing allows the accused to plead, sets bail, and does other housekeeping activities necessary to decide when and/or if the accused should go to trial.