I've done mine. The most difficult part is finding the battery that has terminals - or finding someone who have and can weld the terminals to the CR123 or CR17355. The CR17355 is the expensive battery at about 6 pounds each (you need 2).
I would strongly advice to replace the electrolytic capacitors as well - if I remember correctly 3 of them. The cost of caps is probably around a quid for the lot. The max voltage of the electrolytic capacitorss doesn't matter that much - as long as you get 25V, 35V, 50V or 63V. The difference is the size, but all of these will easily fit.
If anyone is interested I can have a look and provide the capacitance values...
The mechanical problem I had was that my siren was sealed and had no screws, so I had to "break into it" by force and drill. Dremmel tool and good glue would be a perfect solution.