Like Mainebrewer says, most likely on a dorm fridge, the coils are not in the walls of the unit. However, sometimes, the tubes to the coils are in the walls. It always pays to carefully look at the compressor, follow the tubes and have a pretty good idea of where the tubes go before cutting.
For extra insurance, run the unit with the door open for 10 minutes, and use a lazer temperature gauge to locate spots that are hot or cold in the wall. (inside and out). If there is a local spot that is hotter than the surrounding area, or colder than the surrouinding area, then you likely have a tube going from the compressor to the coils in that spot.
Once you are pretty sure there is nothing in the spot you want to drill, like Jim says, do a carful first cut, then poke at the insulation with a paperclip or cut it out caefully.
If you have a plastic wall on the inside, some people heat up a paperclip to "red hot"and melt through the plastic to get to the insulation and probe that way. (reduced risk of cutting a line)
As an extra note: on full sized fridges/freezers, it is common to have the hot lines rout to the door opening to prevent condendation and posibly frost... so be extra careful on those!