Building Scheduling

How do you schedule multiple events at the same building and time but different rooms?

Just do it. As long as each event selects a different room, you'll only be warned of a "possible" conflict, but you will be able to save it.

Each location is set up for multiple rooms, right? If not, then a admin will need to do that.

If you haven't already done so you should read the calendar help. It is quite detailed on how to use the calendar.