Hi Namchief, I doubt if you'll need an emergency strobe. Even if you have an emergency, it's better to use your primary light to signal your diveboat, rather than having a blinking strobe.
SL4 LED sounds good as a primary. Maybe you can add a 4 AA-cell LED such as PrincetonTech Impact XL or UK Q40 LED as backup. I tend to travel light so I leave the large D-cell divelights at home (the water is so much clearer in Cozumel, I don't need a powerful dive light). Besides, Christi has good dive lights for rent if you need them. I use the Glo-toob (tied to my tank) that Goodeatsfan mentioned - best marker light for night dive that I've used. Most other brands I've used flood after a few dives. I used to bring extra batteries on dive trips, but the new LED lights last so long, I don't do so any more.
Assuming you have your set of gear, I'd bring a safety sausage (in case you get separated or surface early). I'd also bring a stash of $1 and $5 bills for tipping at the hotel, cab, diveboat etc.
Enjoy your trip!