I agree that this is a strange request. Why do you want it to be easily swapped? Do you plan on frequently changing the LED, or do you have a favorite LED specimen you'd like to put in and leave in?
Most compact lights solder the 5mm LEDs in so that they are secure against vibration and impact. If you are clever with a soldering iron, a Mag Solitaire with a li-ion cell will drive a 5mm LED, if you add a resistor to limit current. If the resistor is integral to the design (A disc inside the battery compartment maybe) then you could strip the reflector out forever, and swap 5mm LEDs as fast as you can trim the legs shorter.