I am not a native speaker but both sounds good to me. Which one should be more accurate or in fact correct.
They are almost interchangeable, but you could convey a subtle difference in meaning. If you're trying to describe your job / what you do, you'd want to say you work "at" a grocery store. Working "in" a grocery store describes the location you work at. For example, I work in an office, but I work at a company.