To make a building high priority, open the information window. That's generay by holding space and left clicking the portrait or the unit on the field. Then there's a "customise settings" button somewhere in the top right area, which is a shortcut to the unit's default states menu. The priority slider has 3 or 4 ticks, hovering should tell you what they are, and you need to switch the nanoframe priority from normal to high, which should then save across future games.
