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At 40A any 100/200 mAh button or coin cell will be discharged in a blink of an eye, so there is not enough energy to melt steel, but it generally enough to damage a semiconductor, actually the cells that could pot out that much current were some now obsolete rechargeable NiCad button cells, modern cells are built to limit the current, as a short circuit could make them explode, and in the case of lithium cells catch fire, as happened to several celular phone models.
In diode mode most multimeters put out a constant 5 mA current to test semiconductors
You can measure the voltage across the resistor to determine the current, but most led's work well up to 20mA of current, above that their life shortens, I use a current regulator instead of a plain resistor, depending on the brightness I select 5, 10, 15 or 20 mA, that way I do not have to worry about voltage instabilities of the power supply.
Do not try it with a lithium cell that are 3V, and some of these small round cells can put out a lot of current up to 40A in a short circuit.
For SMD's I use test leads that have needle tips that I made with sewing needles, with the sharp points it is easy to contact and hold the part while testing on a flat isolating surface.