So how do I rotate a wall once I'm in building mode?
The first piece is no problem, I can just use the "W" key to rotate it, but once I'm inside the building-building mode W doesn't seem to do the trick anymore...
As said in the video linked above,
you may mean the advanced rotation mode.
Once selected an object, hit 'CTRL+X' to enter advanced mode.
Hitting 'x' again will toggle between moving and rotation.
Cheers, Haxel0rd.