*Mixing high heat and batteries is very dangerous. This Instructable is only for those who absolutely 100% need to solder directly to a battery. Please be careful, and proceed at your own risk.*
First thing's first, there are plenty of options where you can completely avoid soldering directly to a battery. However, as with anything dangerous, sometimes you need to. This Instructable shows how to do it hopefully without making too much of a mess or destroying a battery.
Step 1: Gather Your Supplies
You will need a good soldering iron (preferably with variable temperature), wire cutters, wire strippers, lead free solder, Flux, at least one third hand apparatus, coin cell batteries, and a dental pick. A wire hanger could also probably work in a bind but the dental pick is relatively cheap and has a lot of precision. Do not use any silverware or anything you would use to consume food with (knife, fork, spork, toothpick, etc.)
Step 2: Scratch the Enamel Off the Battery
Batteries have a thin coating over them that solder will just slide right off of. You need to first remove that coating with your dentist pick. How you do this is up to you but I found the best approach for me anyway was to go in diagonal strokes and create a cross stitch pattern. Do this only to the side you will be soldering, but both Positive and Negative sides of the battery have the coating on them that need to be removed.
Step 3: Prep for Soldering
After the battery is pretty well scratched up put some soldering flux on it and carefully drop a bead of solder onto the battery. Please avoid contact between the tip of your iron and the battery. This bead with act as a buffer and you'll be able to attach the wire to the solder instead of straight to the battery. Before proceeding let the solder cool to make sure contact is made and carefully check the surface temperature of the battery. Use common sense, if you're uncomfortable with how warm the battery is, leave it for a bit to cool then continue onto the next step.
Step 4: Finishing
After the solder bead is on the battery take your wire and bend it into an L shape. Place the wire onto the solder bead and very carefully melt the solder underneath the wire remembering to try to avoid contact between the iron and the battery. After the wire is in place put another decent helping of solder on top and let the battery cool before working with it any further. If done correctly, the soldering joint will hold albeit at varying hardiness but you should be able to bend and manipulate the wire that is attached to it. So there you go, remember, this is a potentially dangerous procedure and avoid it if you can. I nor Instructables.com will take blame for any injuries or misuse. Keep your wits and stay safe.