File a police report.
Tactfully talk to your roommate about items missing. Don't be accusatory, but do let him know valuables are going missing.
If it were me, I'd also get a quality, locking chest or cabinet. Any time you have a roommate, you can't control what friends or dates he brings home. If anything else goes missing, you'll never really know who took it. This way you have peace of mind.
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