This is because Wayfinder uses default <ul>...</ul> structure for each node and <li>....</li> entries for each child document.
You’ll have to define different chunks corresponding to Wayfinder’s parameters, especially &outerTpl and &rowTpl.
I advise you to look at the examples in assets/snippets/wayfinder/examples
and then at the configs in assets/snippets/wayfinder/configs to understand how it works.
The big advantage of using a config file is that it’s easier to edit than separate chunks stored in MODx.
With a config file, you edit several chunks at a glance.
Then your Wayfinder call will look like [!Wayfinder? &config=`your_config_file_name.config.php` !]
In your config file, you’ll have to set for your rowTpl description, something like
<a href="[+link+]" >[+linktext+]</a> -
(I’m not sure about the placeholder names. Look in example config files.)
See also the zip file that you can download here, which contains very good and detailed documentation:
http://wiki.modxcms.com/index.php/Wayfinder200
For the last child of each node, you’ll have to avoid writing an hyphen after the anchor.
There’s some &lastRowTpl (not sure about the name) parameter in Wayfinder that you can use to set this exception.
Hope this helps.