This is how I make [most of] my Li-Ion packs. I get the ones that are already protected, so they're easy to deal with.
These are Ultrafire 18500 (18mm x 50mm) with the integrated protection circuit. And I solder them directly. No problems (yet, of course).

First, these have a little coating (silicon, I think) on the positive knobs, you'll have to sand this coating off otherwise the solder will roll right off. It's kind of hard to tell, but these have been sanded down... might be able to see the marks...

With a hot iron, melt a little drop on the knob. Hold it for just a second or two so the battery tip can heat up and grab the solder. Do this for the positive poles one each cell.
*The negative sides don't require sanding, but be careful not to hold it for more than a split-second... you'll see that it flows right on.
For the connection between the batteries, I use a little scrap of 22g to bridge the two.



And some leads for the ends as well.

Lastly, it all gets heat shrunk'ded together.

A few tips:
- Make sure your iron is ready to go (I use a 30w radio shack - works great for my purposes), and rosin core solder makes it easier too
- The wrapping around the battery is heat sensitive -shrink tubing- so if you heat the negative pole too long, you'll see the edges of the wrapping receed
- This is for
PROTECTED CELLS ONLY!!!- I highly recommend that you use a
recharge port of some type with this set-up
- Funny thing about those protection circuits: they cut power off entirely when they deplete to a certain level - so don't freak out when your saber shuts off without warning... just plug it back in
Good luck!
eastern57 ;)