Much like the pause or demolish tools that allow successive selection of buildings, add a similar button for setting/unsetting priority. Could also use a click and drag to set on multiple buildings within an area.
Quick priority tool
Quality of life
Tools & Construction
And maybe after selecting the tool, one could use the scroll wheel on the mouse to adjust the desired priority before clicking the building. The number would be shown with a small 'tooltip' next to the cursor icon.
I was going to suggest this as well
It would probably also need to be able to differentiate between construction priority, and working priority.
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