Belive it or not, I built a pretty good one IN A DORM ROOM and painted it outside my frat house. Normally though, I build rockets and that happens in our game room which I usually take ove when people aren't coming. I don't have a gradge. I paint out side. I know for a fact when I buy a house (which won't happen for a LOOOONG time) I will have one room for starwars, one for rockets, and one where everything can be built without ever having to clean up.
By the way, ask your roomate before cutting sintra with a dremmel in a dorm room. We had white dust in ours for about a month.