Before inserting the battery holder into the case, there's one thing you'll need to do.  The battery holder is polarized, one corner has a little nub.  That nub has an associated hole in the case, closest to the switch.  A wire must be soldered to the plus and minus solder lugs, on the short side of the battery holder, on the side opposite the short side with the nub. 

Note the battery holder has polarity markings on it.