Parts
You will need:
The light itself
The head unit
Might as well get the hard part out of the way first.
Drill the aluminium sheet to fit the lens. You need four holes that you can poke the legs of the lens through. When everything is assembled, the LED will be firmly held between the aluminium and the lens. Also drill the hole(s) to fit your reflector. In this diagram, the sheet will be folded along the dashed green lines.
Drilling diagram for the aluminium base
Bend the aluminium sheet to make a U shape. While you're at it, do something about the sharp edges and points. I just dabbed some hot glue on mine, but I recommend that you fold them over again so that the outside is curved. If you skip this, you'll get nicely scratched up when you knee the light by accident.
Now is a good time to solder some short wires to the LED, since it'll be difficult once the LED is installed. You won't be able to get a strong mechanical connection, so I used some hot glue to hold everything in place once it was installed. Epoxy would probably be more secure. Using nothing will probably result in the joint shaking itself loose. Don't get glue or epoxy on the transparent surface of the LED!
You can tell which side is the positive by the + marking on the LED base. I soldered a red wire to this side so that I knew which was which later on. Don't get them confused!
Closeup of a Luxeon Star
Install the LED and lens on the base. Ideally, the LED should have some thermal grease between it and the aluminium, but it's not critical. I used epoxy to retain the lens - hot glue is probably not strong enough. Try to keep the lens and base held tighly together until the adhesive sets.
Mount the resistor somewhere on the base. This is a bit of a tricky one, as hot glue isn't strong enough and epoxy-on-metal is too brittle for long-term use. My epoxy shook loose after six months or so. The easiest long-term solution would be to drill more holes for cable ties and wrap one around the resistor.
Wiring diagram
Finish off the soldering. You need a wire from one side of the resistor to the positive side of the LED, a wire from the negative of the LED to the negative of your socket and a wire from the positive of the plug to the open side of the resistor. Make sure no bare wiring is touching your base! Copious amounts of hot glue will help retain everything securely in place.
Traditionally, the negative wire connects to the outside (barrel) of the plug, and the positive connects to the inside of the plug. This is to reduce the chance of sparking and badness if your live plug comes loose and touches things.
A common mistake is to solder the wires onto the DC plugs and sockets without sliding the cover over the wires first. If you do this, you won't be able to get the cover on, and will have to desolder everything. Cover slides over the wires first!
Finally, you can bolt the reflector mount to the base. After some testing, I added hot glue to make sure the bolts didn't shake themselves loose.
The battery pack
The assembled battery pack
Cut back the velcro to fit the two edges of the battery pack and stick it on. The other type of velcro goes on the stem, so you can attach the batteries like so:
The battery pack hangs under the stem, and the velcro holds it securely in place. I put the scratchy (hook) type on the battery pack to prevent abrasion on the stem.
Solder on the DC plug, and you're done! Install the AA cells, connect the plug and socket, and the LED should glow nicely. If it doesn't, check your wiring. If it glows brightly and gets dimmer, or smokes, or glows and turns off with a cracking noise, you've probably connected the LED directly to the battery, and will need a new LED.
The battery pack, installed on the bike