Depends on what you mean by "link building."
Yes, links are still important for SEO. But the kinds of links that are valuable are what are called "editorial links." That is, links that other reputable website owners place because they've become aware of what you offer and want to share it with their visitors. These are not
links that you can buy, or links that you can place for yourself.
You "build" these links by marketing your site, making other site owners aware of what you offer and encouraging them to link to you. (Yes, it's even OK to put a note on your pages and in the footer of your emails and on your sales receipts and on your business stationery and anywhere else that other site owners might see it, that says you'd love for visitors to link to you if they like what you do.)
Links that you "build" on your own through forum link drops, blog comment spam, low-quality "guest posts", free classified ad sites, free-for-all "directories," etc. etc. etc. are already nearly worthless, and becoming less valuable every day as Google gets better and better at identifying and discounting these self-made links.
This is what the Penguin updates have been all about.