If you use those 20c cells from hobby king can you solder the fuse right to the tab?
An SMD fuse (surface mount) should really be soldered to a PCB. It's not structurally designed to free hang with wires soldered to the end, though you could probably solder wires onto it without a whole lot of trouble. The best thing to do would be to make a little PCB for it. Mount the fuse onto a PCB then solder the cell tab to a pad on it.
The other option would be to find a leaded PTC fuse and use that. The SMD ones are better, lower resistance, more compact, but you can find leaded ones that will work well.