I know this sounds difficult, but it really isn’t that hard.
All you need is a drop in like this:
http://www.dx.com/p/26-5mm-aluminum-reflector-drop-in-module-set-without-emitter-5955
And a Driver, the cheapest suitable one would be this:
The LED is installed into the brass part with thermal adhesive, the driver is installed into the other side of the brass part by soldering it in place (see link in my last post). Connect to two wires from driver to LED and you are basically done.
To Lithium batteries: yes, they will perform better in cold weather conditions, and have overall best energy densities.
However, they differ from the batteries in power tools insofar, that they lack the sophisticated safety circuits. This means, you can damage them more easily by deep discharging them as well as overcharging them.
Overcharging can be avoided by getting a good charger - doesn’t have to be a expensive one. This one for example works well and is safe:
http://intl-outdoor.com/ml102-v60-usb-charger-for-18650-26650-battery-p-243.html
Avoiding deep discharging is on you: when you see the light getting dimmer, change batteries. Don’t run them till they are dead.
A word of advice: If you decide on buying a multi cell Lithium battery flashlight, ALWAYS make sure you use batteries of the SAME charging state. Test this with a Digital Multimeter. Best practice would be to buy the needed amount of batteries of the same type, and always use those with your light.
If batteries of different charging state/age/capacity are mixed, or heavily discharged/overcharged, serious accidents can happen (read: explosions and fire).
However, Lithium batteries can be handled safely. Just be aware of their limitations, and you will be fine!
Can somebody provide a link to an introduction page into Lithium batteries? I think the OP may find this helpful.