Do you guys think that entities exist in an actual building, or the space the building occupies? If the building was torn down would the entity go with the rubble from the building materials? Or would it still exist in the space/time where the building was, and if a new building is built in the space of the old one, would the entity be active in the new building?

Very good Mel. But do you think it is the land the entity is attached to? Or are they attached to that place in space/time?

Well I've read that most hauntings are unintelligent ones and are simply energetic recordings of a different time and place.  I don't think the destruction or remodeling of a building would stop that kind of haunting at all, since its simply a recording of times past.  And if the haunting were intelligent, I can't imagine an entity being promoted to leave a place due to remodeling or demolishing of the place it once inhabited. 

If the string theory of physics is true, there are many more dimensions than we normally perceive. Perhaps we catch glimpses now and then...a sort of bleed over? I have wondered if this was an explanation for  "shadow people".

Perhaps you should first ask: What IS space?  This is a touchy subject because the so called "Laws Of Physics" are not true laws, they are observations.
According to science nothing is real unless it can be proven real in a laboratory under controlled conditions. This is bad because it leaves gaps in what we know: what actually causes lightning? honest scientists will admit they do not know. Anything they cannot explain they call "preternatural", that we cannot explain this phenomenon-YET.

If we only perceive a portion of what is going on around us it would stand to reason anything and everything could be around us, that the space between myself and BobbyT may simply be no SPACE just a hardwired belief that there is a long distance between us.

Now consider that hypothesis, could it be that the human brain is a filter that blocks out the the whole of creation from our perceptions?
If this were the case what would be the dividing line between past and present, one dimension from another, between the realm of the dead and the realm of what we call the living?The human brain is a basic thing, as we know too well to much stimuli can throw a persons mind off kilter . We would all go insane if the universe was laid before us an all its multidimensional glory, H.P. Lovecraft understood this, he knew that we weren't supposed to know everything we want to.

So We have a world of over 6 billion stumbling around in a haze of self perception like puppets on Gods string. When people see hear or perceive anything that their senses SHOULD NOT allow them to, the first  thing that happens is that they are called crazy. Science does not approve of anyone disagreeing with the life long view that all is knowable and that we already have the framework figured out. But not everything is knowable: ignorance is not bliss, it is the order of the universe. The paranormal manifestations of Creatures, Ghost phenomenon and such is noticing more than we are suppose to know. To the question "Do Entities exist in a building or in the Space", I maintain that foremost it would be in the space. The structure of the building may have an unknown element that makes crossover inculsions more common, hence it being "Haunted". But we need to ask how much is being projected into that space and is not in fact occupying it.
Which goes back to my first point What IS Real Space? I have my theories (they are insufficient to amount to "truth", I know that no man or woman can know the Universe like its Creator) about the structure of human perceptions , I have alluded to them here make of them as you will.