Hey, if you like to tinker, go for it. However, LED lights have become so inexpensive that I doubt if you would save much money. You can buy a quality self-contained LED headlight -- that is, with a built-in rechargeable battery -- for prices ranging from $50-125. Eg, I recent bought a Light & Motion Urban 800 for a little more than $100, and it puts out 800 lumens on high, 350 lumens on medium, plus it weighs only about 120 grams. You can buy LED flashlights with 18650 rechargeable batteries with comparable outputs for even less money.

The situation with LED lights now is comparable to wheel building. If you like to build wheels and have the skills and equipment, you can build yourself and excellent wheelset -- but it is likely to cost you as much or more than buying a prebuilt or custom wheel with the same parts.