On the wires coming from the battery, I usually cut the positive wire in half. Solder one end of this wire to one side of the switch and the other end on the positive wire to the other side of the switch. Think of the switch as a break in the power supply line. When you press the switch you connect the break. Hope this helps.
Like sbpoole said, but didnt emphsise the importance of the fact you MUST put the switch between the battery and the driver.. because if you put it between the diode and driver any stored voltage in the driver (even if batteries are removed) can be transfered to the diode even if the power supply is removed which could potentially destroy your diode! I know this because when my friend finally built his first laser he blew it in about 1 second.. I was right there when it happened and let me tell you he wasn't too happy.. so to save you time, effort and money please, please put it between the battery and the driver!