FullMetalHippie
Super Freak
Yep, all SSC's and HT's batteries are pre-installed. Batteries for Vader are in the locations you mention, except batteries for belt and chest lights are in the back of the belt, itself, not the back of the figure.
I had to unscrew the cover to remove the plastic covering on mine. Once you do that, put the cover back on, flip the switch and you should be good-to-go.