The given sentence is:
The further information I need is to know in which building is the class held.
The question is: Have I placed the word is in the right place in the sentence?
This question is complicated by the fact that is actually appears twice in the sentence. I've assumed from the explanation in the OP that we are talking about the second instance (which I have highlighted).
Short answer: either is correct. As written, we would read it like this:
The further information I need is to know [this]: in which building is the class held[?] (Here the required information is expressed as a question. The square brackets are the implied elements here.)
If we moved is, it would now read:
The further information I need is [this]: to know in which building the class is held. (Now we are expressing the required information as a statement, a fact to be discovered.)
Of course, if you're not sure, rewrite the sentence. Simplify it.
I need to know one more thing: where is the class being held?