The chances of a battery exploding are very low if you don't stack unprotected batteries and use a device that is vented for safety. Using the Silver Bullet with a standard or high drain 18650 3.7V battery is unlikely to give you any trouble, and if something goes wrong the battery is designed to "vent" rather than explode and the SB has a vent hole at the bottom so that it doesn't become a pipe bomb. There is an increased risk of battery failure when you "stack" 2 or more lithium batteries for higher voltage, so it is HIGHLY recommended to use only "protected" batteries for higher voltage.
I've managed to "fry" a few batteries, but it has never been a serious problem in my experience as much as it is something to understand, and take steps to avoid or at least be prepared for it.