is it more appropriate to say "I'm going to the cinema."?
***** NOT A TEACHER *****
I am 99.99% sure that most Americans would NOT say that.
In fact, if a (young) male in certain neighborhoods in large cities spoke like that, he would be greeted with laughter and maybe
even physical violence. For some people, "cinema" is a rather "sissy" word in ordinary conversation among the common people.
I should guess (I do not know) that "cinema" is a fine word among the better educated, as those in New York City's intellectual circles.
But if you come to the United States, it might be a good idea to avoid the word "cinema," if you can. Just use the good old American
word "movies." (P.S. Also remember that Americans refer to the building as the "theater," not the "cinema": Because of the long line
of people outside the theater, I decided to go home.)