I stick to 180mah 2S LiPos (Turnigy Nanotech) and even in my higher powered robots I can get at least 10 minutes running out of them.
3D printers are bad at threads. I use M2 screws to hold everything onto a 3D printed chassis that doesn't get bolted on with a seperate metal nut. "1) 3D printers aren't great at threads. We just put holes which are slightly smaller than the threaded end of the screw and then drill the screw in after it has printed. Never had any cracking providing that the screw holes are encased inside a square section and are bulked out around the edges." Good advice right here!
LED's I just order off of ebay, can get a pack of 20 for £2 with free postage if you hunt around a bit. You just need to wire the LED using the +ve and -ve of the receiver with a resistor in line somewhere. The order doesn't matter as long as the LED is the right way around.
Yeah I just use scissors for 1.5mm polycarb, I wouldn't go thicker as it becomes a pain to work with and 1.5mm is enough.
I always use switches in my bots and you can pick up some nice small ones in maplins like the ones in the link in my signature (seems a waste of postage for one switch though

).
One thing on 3D printing is don't skimp out on bulking the chassis, your armour is only as good as what you bolt it to. I print in ABS for it's nice material strength that has a density of 1g/cm^3 so you can put a lot of plastic into the chassis without worrying about weight.