Events occurring at specific date/day intervals are indicated as occurring "on".
We're going to the store on Wednesday.
We're going to Disney World on October 8th.
Events occurring at generalized times of day are indicated as occurring "in" a specific interval.
I tan in the afternoon.
In the morning I like oatmeal.
The constructs can be combined
On Wednesday, I went to the store in the morning.
If the time of day merely modifies the specific date, "on" takes precedence.
On Wednesday morning, I went to the store.
In your example "evenings I'm working" are specific dates, not times of day. Therefore you use "on".
If the interval is a general time of day but on specific days/dates, "on" is once again used.
On afternoons that I work, I like to eat pizza.
On days that I work, I like to eat pizza in the afternoon.