What everyone else has said. It's true that student accommodation can be an attractive target for thieves because they know there's a lot of electrical equipment there - every student probably has a stereo, TV, MP3 player, laptop/PC, and so on. That said, thieves are unlikely to actually break in to rooms in Halls - too many people about and too much chance of getting caught. They'll just nip in and quietly swipe things, if there's an opportunity to do so.
All you need to do, really, is follow some simple precautions, basically the same as you would when living anywhere:
*Don't leave your door open when you're out of your room. (You don't leave your front door unlocked at home, do you? Same principle.)
*Same with windows, especially if you're on the ground floor - even if you're only going out of the room for a few minutes, shut the window.
*Don't leave expensive things on display.
*Mark your property - the police can advise on how to do this - to make it harder for a thief to sell, if it's stolen, and easier to identify, if it's later recovered.
*Make sure you have adequate insurance; that way, if the worst happens, you'll be able to replace your stuff.
*Don't let strange people in to the building.
*Report anything suspicious to security/the police.
My experence is that people swiping odd bits of food is the worst that ever happened - and even that wasn't particularly common. And, in the studios (I did Fine Art) we tended to lose tools and bitsand bobs we'd lent to other people and end up gaining other stuff with no idea quite where it had come from... It seemed to come out even!