Never put them in checked luggage, put them in the passenger cabin where there is a chance to put out any fire that starts. They do not need oxygen to burn, so fire extinguishers in the cargo compartment are of no help.
The biggest issue is a damaged battery or mis manufactured one that will short out when bumped at just the right point. QA is a huge part of this, and its often non existent in the cheapies.
USPS now makes it illegail to send one in international mail, or to send equipment containing a li-on battery.
That's good advice but also be aware that putting out a secondary fire, started by a Li battery, is often easy enough with a conventional A-B class extinguisher. Putting out a primary Li-fire itself requires a very special and expensive type of extinguisher that uses another reactive ingredient to quench the reactive Li. (I think it may be a copper content material)
However, a Li-ion fire vs a Li-metal fire is a different monster, the latter being much more difficult to put out, AFAIK. Most of our toys run on some formula of rechargeable Li-ion chemistry. Primary Li cells may be the more problematic to extinguish in case of failure.
Primary Li batteries are the kind that are non-rechargeable, like CR-123 and other CRxxxx cells often used in photographic devices. These do have a pretty good safety history though.
you can find lots of relevant info on wikipedia too.