Your hotel keys should actually never have room number attached on it. If you are staying in some budget hotels that they print room number on the keys, then you should be aware of it. Do not lose your keys, many thieves will know exactly where you are staying and get into your room very easily. Some budget hotels on Koh Samui have electronic keycards like Chaweng Tara Hotel at Chaweng Noi, or you can simply leave your key at reception.
You must always have the hotels key in handy when you are approaching your hotel room. The budget hotels in Samui are not all scary and unsafe. But safety first rule is always applied for young girls staying whether alone or in groups. The very few seconds it takes to find your key in the wallet might increase more chances and time to attackers to catch you off guard.