Good brand headlamps would have built in overdischarge protection for the battery, as yours is a cheap Chinese one id guess it hasnt so if it was mine I'd be using protected 18650s.
Here are two images of 18650 tests that were done to check out the capacity of some various brands, the first one is the claimed amperage on the battery VS their actual capacity. The second is a test which was run using an electrical fan to see how long it would last. Notice how the cheapish made Chinese brands fail miserably compared to the Brand name batteries and the pricing is about the same so you might as well get the good ones.
Wow! Thats interesting. I went for Panasonics (as they were in stock) but it looks like any of the good brands perform similarly.
I got protected ones as well - it seemed like a good idea before Leslie posted, but that post confirms it was the right choice! Looking forward to a head torch now that doesnt run out half way round the dog walk!