I work for a university. Dorm room theft is one of the biggest problems most colleges have, mine included. The only reason it's such a problem is because of lazy, forgetful, thoughtless students that don't lock their room.
As you've already hit on, securing the room must be a cooperative effort between roommates. Getting a good roommate that will help you with that can be a real crapshoot. You must beat into your roommates head that the room must be locked at all times when unattended. If you get a roomie that is a complete dork, and won't help you with this take it up with the housing staff.
As for the idea of using a safe, you likely wouldn't be able to secure it to a floor or wall. Lots of dorm rooms are still made of concrete floors and block walls. Anchoring something to one of those would be quite the chore. Even if the construction of the room would allow for easily securing a safe to the wall or floor, the university will probably have regulations against making holes in or otherwise damaging said walls and floors.
That's not to say a small safe or lockbox isn't a good idea. You just have to remember a determined thief can still cart it off somewhere and gain access with proper tools. Even if it's not bolted down, the safe itself is a good deterent to petty theft. As others have mentioned, though, you can achieve much the same results with a lockable case or piece of luggage; however, soft storage goods will be easier to access than a safe.
Storing your stuff in a vehicle can be a risky proposition, maybe moreso than keeping it in the room. Cars are stolen and cars are broken into, often and easily. Even if it's in the trunk, it's easy pickings. All you need is access to the passenger compartment, by breaking a window or manipulating the lock with slim jim or even a coat hanger. Many cars have remote trunk releases in the cabin; if not, you can usually get to the trunk through the back seat.
Your best bet would be to store your gear in your room, secured in some sort of container or safe. Keep it out of sight, and don't advertise it to others; the container and the camera gear itself. If you have some means of securing the container with a cable to a fixed piece of furniture or appliance (radiator, piping, desk, closet structure), do so. Above all, though, absolutely positively lock your door when you aren't around. Even if you go to the bathroom for just a minute or two, lock the door. And one other thing, keep your keys on your person at all times. You wouldn't believe how many kids will just leave their keys laying around for anyone to find; doing so is just a free pass for an evil-doer.
Lastly, keep a record of all your gear or other valuables. Record the serial numbers and a good description of the item. If possible, have the item engraved with some sort of personal identifier (not your SSN). Many universities offer a property identification program and will engrave your stuff for you. All of this will make it easier to report your property if it is stolen, and will help the authorities track and identify it during the investigation.

What SoaringUSAEagle said about waterproofing documents made me think of something else. If you're staying in a residence hall that has a fire supression system (sprinklers) or even exposed water pipes, it would be prudent to keep anything you don't want to come into contact with water up off of the floor or in a watertight container. At my institution, we've had a number of occasions where some doofus has broken a sprinkler head, causing the water to flow freely and flood a residence hall floor and all of the associated rooms; even a legitimate activation will do it too. It doesn't take long for a sprinkler system to put out enough water to submerge a dorm room floor in several inches of water. Consequently, we've had a lot of students with damaged computers, electronics, clothing, etc.