Normally the lights have pre-made packs rather than four loose 18650 cells to put into a holder. I've never seen such a holder, though maybe they do exist somewhere.

nery's point is that these battery packs are pretty easy to find. And it doesn't have to be made of 18650 cells -- any two LiPo or Li-ion cells in series would work, as long as they have the appropriate protective circuitry. Even a 6xAA, C or D cell pack would work as well, though a pack of 6xAA's would not last nearly as long as a pack of 4x18650 cells.

As for an all-in-one headlight, the single cell 18650 flashlights excel at that role. Though the $23 amazon light we've been talking about outperforms them at about the same price point, but it's larger and more cumbersome to remove.