The Romisen you're ordering says it'll take 18650 batteries -- probably it has an adapter of some sort to make it work. Using these would be better than anything involving AAA's.
Walmart doesn't sell anything for 18650's -- you'll have to order stuff. I suggest this --
http://www.dealextreme.com/details.dx/sku.5790 $7.88 two 18650 batteries
http://www.dealextreme.com/details.dx/sku.1251 $11.72 UltraFire 3.6/3.7V Battery Charger
Your Romisen probably uses one 18650 battery at a time, so if you buy this, you'll have one and a spare. It's pretty cheap to just buy four batteries and leave one in with your spare tube and swap it out with a fresh battery every few months.
If you've got a few extra dollars, this light should give you at least twice the light of your Romisen ...
http://www.dealextreme.com/details.dx/sku.39359 $20 UltraFire WF-501B