The lights are some form of machinable aluminum, according to the web site. If you found aluminum belt clips, or had them made, you should be able to have them welded on. Welders would prefer to know the alloy of the parent metal, but a non critical item like this could be tacked up with a general purpose filler.
The anodizing would have to be removed from the flashlight, where the weld would be. It can be tough to grind anodizing. Sometimes the grinds end up being deeper or wider than desired, since the aluminum grinds away easier than the anodizing. It might not be too big of a deal on a flashlight, but it can make some welding jobs a pain. TIG welding would be best. If the clip had a hole drilled in it, a plug/rosette weld could be made, and that would eliminate grinding the finish where it would be seen. The other obstacle would be to have a section of bare metal, preferably on the flash light (as opposed to the belt clip) to connect the "ground" of the welder to. The ground clamp has to be connected to bare metal. TIG would have a small HAZ or heat affected zone. The HAZ can affect the finish on the metal next to the weld and also the strength or susceptibility to cracking of the metal.
I don't know if brazing would be an option with dissimilar metals like aluminum and steel, but it requires much more heat, over a broader area. TIG will puts a lot of heat into one small spot and can do it very quickly, unlike a torch (granted I have limited experience with a small rosebud torch). Either way, it may not be good to heat the light housing that much.
How about a number 6 or number 4 tap? You could drill a hole in the light housing, tap it (to create threads) then install a screw or two with red loctite. Firearms often have small screws and it works well for them.
You could try using some epoxy. There is a carbon fiber hand guard kit for AR 15's that uses "2 ton" epoxy to attach the hand guard section to the aluminum barrel nut. You could use sand paper to rough up a small area under where the belt clip would be on the flashlight and then epoxy the clip in place.
While, welding may work, it may not be ideal or the easiest way to solve your problem. At roughly $30 a pop, do you want to take a chance of damaging the light by welding? If you use screws, make sure you know what is inside where you will be drilling into.
He who dies with the most tools/toys wins