I lived in dorms all four years and never had anything stolen. None of my roommates or friends had anything stolen either.
As others have said, just be smart about it. Don't leave your door unlocked, don't leave your stuff unattended in the library, etc...
I will say the 3 years I lived in the dorms nothing got stolen from me. The the 1 year I lived in a house off campus it got broken into. We lost two $20 dvd players, 1 busted TV that we were going to haul to the garbage any how and my roommates small DVD collection.
Oddly enough they did not touch either one of our printers, the 40 bucks cash I had on my bookself that they walked past after they broke in threw my bed room, my working TV, N64 or my larger DVD collection on the other side of the room.