Does attenuation to RF waves increases with frequency? I heard somewhere that RF waves at high frequency such as above 2GHz face more attenuation while passing through air, buildings and due to humidity as compared to 800Mhz and 
2) Waves at 30-40GHz cannot pass through thick walls and need clear Line of Sight. Is this true?
 A: Electromagnetic waves will not get attenuated in vaccum. If attenuation is happening in a non-vaccum setup while passing through air or some medium, there can be multiple factors causing it. For instance when RF waves travel through the atmosphere the waves will get scattered due to interaction with the constituent molecules present in the atmosphere. Now the amount of scattering is more for a wave of higher frequency. Hence it makes sense that 2GHz waves suffer from more attenuation than 800MHz.
As far as the second part of your question is concerned I don't know the exact value at which RF waves need clear line of sight to travel. But a radio station typically near 100MHz does work even if you are sitting in a location bound by thick walls.
An interesting application of this behaviour of RF waves is in the detection or evasion of stealth aircraft. 
https://en.wikipedia.org/wiki/1999_F-117A_shootdown
That Line of sight not just considers the direct uninterrupted path from the transmitter to the receiver but also will work due to other factors such as diffraction and reflection from the open spaces nearby such as windows or other openings. Also there exist multiple repeaters which amplify an attenuated signal so that a clean signal can be received on your handset.
This shall fail when you are in a closed chamber where the wavelength of the RF wave is greater than any gaps or orifices that are present.   
