Using Verb + Preposition, work in would be the standard usage.
Work at is also permissible, but has the additional meaning for a specific place:
She works at McDonald's.
He works at the restaurant.
(nb: "He works at a (non-specific) restaurant" has the same meaning as "He works in a restaurant")
Finally, work at carries the additional complication of being a phrasal verb:
work at [phrasal verb]:
work at (something) : to make an effort to do (something) better
He needs to work at his handwriting.
She has been working (harder) at controlling her temper.
I myself prefer "work in" to "work at" in your example, probably to avoid ambiguity of him working to "improve his desk job", or working a desk job to improve himself.