It can be difficult to live in a dorm room and share basically everything except your bed and your toothbrush. It's important to find your own private space or time to just be alone and either self-reflect or have some peace and quiet. There are many, many ways to get this much needed time while living the dorm life.
You could first find times when either you or your roommate are in class when the other is not. This is usually easier said than done unless you guys just have completely opposite schedules. I know myself and my second freshmen year roommate was this way just because she was always working and I had sorority events so if I was in the room she wasn't and if she was in the room I wasn't.
Another way to find some form of privacy when you live in a dorm is to go to a sturdy building with individual study rooms. You can usually find these all over campus in almost every building, especially the major ones. This way not only are you getting some private time but you can also knock out some of the more important homework.
One other option is to go for a walk or relax outside on-campus, weather permitting of course. I usually hang up my hammock, slip some headphones in and relax in a tree. I can't guarantee though that someone you know won't want to join you so your private time may be short-lived with this option.
On a completely different note, I had a friend whose roommate never left her dorm. In order for her to get any type of alone time, she had to go sit in her car that she brought to college with her. While I'm not suggesting you do what my friend did, it was a valid decision for her at the time.
However, you choose to get in some private time, make sure you get in. Personal time is just as important as time with friends and has some real benefits. Just don't necessarily go sit in your car.