Anything you have in the room, lock it somehow. I remember when I lived in a similar situation. People used to steal my food all the time from the fridge, so I bought a lunch box to keep my food in. I put a lock on the lunch box, and then chained it to the inside of the fridge, so that it couldn't be removed and left to rot outside the fridge either by anyone spiteful.
Keep all of your clothes in a trunk. Put a lock on the trunk, then in a similar method to the fridge idea, chain the trunk to somewhere it won't be easily removed. Maybe the leg of the bed, or around the hinges of the door.
This is all just temporary solutions though. You will need to address the problem at it's heart - your roomate. Heres the deal = she has gotten away with stealing from you before, and nothing happened. Hence, she will now continue to steal from you, because she knows nothing will happen. You need to tell her to her face to not take your things without asking. Do this with friends present if you need backup, even if you have to ask them to come over (because they don't go to your school or something).
If this doesn't work, inform the caretaker of the dorm, and see what can be done. If they won't do anything, well, I hate to admit it, but you may have to wait it out until you can change dorms. Let her know though that you are aware of her stealing. She thinks that you think you are powerless to stop her. Make her realize that she thought wrong.
They make mini-fridges with a lock and footlockers cost about $45 a piece and you could possibly even find one for a couple bucks at a thrift shop. You can even put locks on your drawers and cabinets. I had to do this when I shared a house with a bunch of other people.
It sucks, and most of the stuff may be inexpensive... But all those little things start to add up over time.
Confront her about it. If you can't get through to her or if the theft continues regardless of whether or not she's confessed about it, then speak to the RA and then a mediation of some sort might be set up. If you go directly to the RA with the issue first, they'll probably send you right back to square one and have you talk about it first. Just don't use any accusatory statements and remain as neutral as possible. Example: "So I've been noticing that a few of my belongings have gone missing/some things of mine have been broken, and I was wondering if you knew anything about it." If she doesn't admit to it at that point or show any sort of sign that she was responsible, then I would bluntly ask if she had been using your things. I would end it with a statement about how comfortable or uncomfortable you feel with having things borrowed, used, or straight up taken so she understands the magnitude of the issue. If need be, lock things up or store important belongings that you feel are at risk.
You could just take all of her art supplies and arrange them in a pentagram on the floor, stick black candles on each corner and put the brush she stole and ruined laid in the middle with the words "I know what you did painted on the floor".
It could just be simpler to just get a lock chest or locking draws for your stuff, if it is good enough for every D&D based character with common sense then it is good enough for you.
You shouldn't have to lock up your valuables, but since she's been stealing them, you need to. Even though the paintbrush was ruined, you still should have taken it back (if you didn't when you saw that it was ruined). Confront her about it and if she still doesn't stop, then change rooms as soon as possible.