You need to figure out two things- what you want and what your resources and abilities are. The light in your link seems pretty useless to me. If all you want to do is impress your friends, that might do it. But it's not going to be all that impressive. There are lights that would fit in your pants pocket that are way more impressive. I mean, as large as it is, it should be bright. And unless you make alot of friends on a regular basis, after the one's you have see it once, it's no longer all that amazing. You'd probably be better served to have a light that has other uses.
There are a couple levels in this hobby, each one a pretty decent step beyond the one before it. The first is what you'd call "simple mods" There are incandescent dropins for Maglites that are about the simplest. There are plenty of modules available for p-60 based lights, such as the Surefire's and such. The reality is though, you can buy a Surefire Fury that is pocket sized and puts out way more than any of your non-flashlight friends have ever seen- for about 100 bucks. You can buy a whole bunch of Chinese made lights for a third of that and get about the same results with varying degrees of build quality. Also, you'll find many "high-power" dropins on Ebay and on the various overseas flashlight parts sites that list big output ratings. Most don't come close to what they're rated. Like everything else in this world, you get what you pay for.
Past this, you can get into some semi-custom builds. One of the most attractive is the Jayrob 1000 lumen maglite. You can buy the parts and do this fairly easy mod yourself with simple hand tools and basic mechanical skills.. Once you go beyond this point, you need to get an education on how the electronics work, how thermal management works and either have the access and skills for machine shop work or have a friend who does. It can be prohibitive to hire this sort of work out. If you can do this, you can modify just about anything or build whatever you want from scratch. The best way to get to this point is to look at every build and mod thread and examine what the builder did and try to understand why. Then you can implement these various aspects into what it is you want to build.
As you will see looking through these various builds and mods, there is literally no limit to what you can build. But it can be expensive. And sometimes dangerous. Many of these lights are powered by rechargeable Lithium Ion batteries. For their size they are unbelievably powerful. But they have very strict usage parameters. You will learn that there are two essential types- protected and unprotected. Protected one's can prevent you from overloading or over discharging the cells. Unprotected cells are for a very serious hobbyist with experience. They're really not for an everyday light for in your car. When things go wrong, they can melt down. If they do this in a heavy, sealed aluminum tube, the pressure can rapidly build and the light may explode. Not only does it explode, what's left continues to burn at a very high temperature and the gasses emitted can cause substantial and permanent damage to you. It's not that you should fear these batteries, but you should respect them. It's said that the majority of these issues occur when charging these cells. I can believe it. If you're playing with lithiums, get an education prior to. If not, you'll find that most of the higher output lights run on CR123 lithium non-rechargeables. A 500 lumen 2-cell Surefire is going to cost about $2 an hour to run on these cells. There are lower output cells like Ni MH and LiFePo that may be suitable for your uses. Check out the battery section.
This is not the friendliest hobby to new people. I've looked and learned for several years before I moved beyond what you'll see termed here as "Lego Mods". Those are pieces that simply bolt or screw together. Understanding the various LED's available and what each one's benefits are, coupled with the various driver considerations can be a bit challenging. There's really no one place you can go to learn all of it. My interest in building my own and doing involved mods made me continue to come back and seek bits of information.
In short, if you want to build your own, there's a fairly decent self-education curve. If you just want to have a "wow" light, modding is the most difficult and most expensive way to get there.
