I always used to keep my bike in my room in halls. We always had a heads-up when they were inspecting though, at which point it got locked up outside for half an hour. I remember my mate at St Andrews keeping his bike in his room but in several parts, so it was 'bike parts' rather than a bike.
Some of the wardens are as bad as security guards though...wannabe Hitlers trying to make everyone else's life as miserable as theirs!
Dave