It depends on the type of safe. I'm not a locksmith, but I have researched this, and this is how I understand it.
There are "security" safes (aka "burglar" safes), and "fireproof" safes. A security safe should be bolted to the floor, to stop the bad guys ripping it out. It comes with pre-drilled holes for that purpose. However, a fireproof safe should not have any thru-wall holes, since a fireproof safe must protect against the deluge of water that will occur when the fire is put out. Thus, fireproof safes are often glued instead of bolted.
Some time ago, a relative showed me his new safe. It didn't have any pre-drilled holes, so he drilled some in, so he could bolt it to the floor. I chose not to tell him the following: (1) The fact that he could drill any holes in the safe, using his trusty Black & Decker drill, showed that it was a fireproof safe - not a security safe; and (2), drilling those holes destroyed its value as a fireproof safe!
In summary, you need to decide what's most important - theft protection, or fire protection. Those are different types of safes. The problem is they look identical to the untrained eye.
[edit: sp]