To say the city you're from you use di followed by the name of the town. You don't use di followed by the name of a country. In that case, you give your nationality:
Siamo di Londra » Siamo inglesi
Siamo di Glasgow » Siamo scozzesi
When you want to say 'in/at' or 'to' a place, the word is in or a depending on the kind of place:
a is used with towns and some commonly used expressions:
a Rimini
in Rimini
a Venezia
in Venice
a is also used with casa and scuola:
a casa
at home
a scuola
at school
in is used with countries and regions, including the Italian islands Sicilia and Sardegna:
in Francia
in/to France
in Sicilia
in/to Sicily
Amongst other words that require in are shops:
Abito in centro
I live in the centre
Vado in centro
I'm going to the centre
in città
in the city
in farmacia
at the chemist's
in campagna
in the countryside
in montagna
in the mountains
in can also mean 'by' or 'on' when you're talking about transport:
Vado in bicicletta
I'm going by bike
Vengo in autobus
I'm coming by bus
Andiamo in treno?
Shall we go by train?
Viene in motocicletta
He's coming by motorbike
Vado in aereo
I'm going by plane
Vai in taxi?
Are you going by taxi?
Vengo in metropolitana
I'm coming by tube
But you use a when going on foot:
Vado a piedi
I'm going on foot
in and a combine with the words for 'the' when talking about specific places:
Vado al mercato
I'm going to the market
Siamo al mercato
We are at the market
Abito nel centro di Ferrara
I live in the centre of Ferrara
They combine with the words for 'the' in a similar way to di, 'of'