If you're using a proprietary battery like in a 510, 808, or ego, you don't really have to worry too much about it. However, if you move up into mods where you are buying generic batteries, you have to be sure you know what's safe. For instance, you can get 14500s which is about the size of an AA in IMR, protected or unprotected. The IMR has safe chemistry that will get hot but, not explode. The protected has circuits that will shut the battery down in an unsafe condition. The unprotected has neither. Unless you are sure that your mod has protection circuits for the battery, you are taking your life in your hands using unprotected batteries in a PV.
My understanding is that the unfortunate guy that had one explode in his face recently ignored the instructions on the site where he bought the mod and used some unprotected batts he got from Radio Shack. He probably didn't know the difference and thought he was saving money on batteries.