'last' modifies the entire verb phrase 'go to the cinema'. 'to the cinema' functions as the object of the verb 'go'. Together, 'go' and 'to the cinema' form the verb phrase proper.
Note that, Words that modify verbs are called adverbs. 'last' is an adverb. The term adverb
means, add to the meaning of a verb, so since 'last' is supposed to add to the meaning of the verb, it should go next to the verb, the whole verb phrase, either at the beginning or the end, but never in the middle. :D
go to the cinema (OK) :D
End: go to the cinema last
Middle: go last
to the cinema (Not OK) :(