Strange, I did the same with both heads (KL5 & KL3) on the Golden Dragon lantern's battery holder and the sound came from inside. Yup sparks can be seen when the head is not connected firmly onto the terminals, a wierd smell too! But the sound definitely came from inside the head. Just tried.
The KL3 only draws a bit of current. You can try the search function to find out the current draw.