College dorms are easier than many places to break into simply because you will have Murphy, as in Murphy's Law, for a roommate.
Murphy will invite over people you don't trust.
Murphy will leave the door unlocked, or even propped open.
Murphy will borrow your stuff and forget to return it.
If you want to keep your stuff safe:
1) Live in a key-code access dorm (what they call a double-lock, so that separate security requirements are needed to get in the front door, and then into your room), if available.
2) Live on a third floor or higher - prevents people from climbing in.
3) Keep your valuables to a minimum. If you have a debit card, keep it tied to a low-balance account. You can request that your bank set up two different accounts, one that is higher balance but can be accessed only by phone and is password-protected, the other has your debit card link but can only hold $150 in it at a time. You replenish the smaller account as you need.
4) Keep your valuables out of sight. The worst place to put your book of 144 CDs is on the dresser by the door. It's better to put it under your bed or behind something, or better still to leave all your CDs at home and bring the burned copies.
5) If you have a laptop, buy a lock and lock it to your desk. These can be foiled but take a LOT of time to do. Better yet, if your campus is safe, carry it with you and don't let your backpack out of your site.
6) NEVER store anything of value in your car.
7) Make sure your rentors' insurance (or parents' homeowners insurance) covers theft from your dorm room.
Best of luck in your studies.