I am in my third year of university now, my first year was in dorms and my other two have been in a private house where I live with friends.
Like the OP my Xbox was my least valuable thing in my room, but I never had any problems with anything getting stolen. My room had its own lock and each floor had its own lock too so it was as secure as anything could be.
Dorms are designed to be very secure, although no doubt when you get there you will get offered insurance - its not usually much and you may never 'use' it but it would ease your worries so worthy of a buy.
My gaming experiences however also went the way of casual. In the first year only due to money however, but I did manage to get some hardcore gaming sessions in with my friends (co-op gears and halo mostly)
There is a lot of work to do sure, but time can always be found to do what matters most to you, which in your case would be music and gaming.
So my opinion would be take your game console, its always a good ice-breaker for people challenging them to a game and in my experience a) it works really well and b) loads of people have games consoles at uni!