ok i`m still new myself but have wayfinder working, what you need to do to, to create your own <ul><li> formats is create little chunks, then in the wayfinder call, you tell wayfinder what that chunk is called and it will use your formatting, however please note that in each call you need to define what is going to be styled or formatted, that could be outer container, row items, current doc etc.
So if you wanted say an id on the <ul> tag you would have to
1. Create a chunk called wfOuterMenu
2. Insert your formatting, something like this (notice I have added a container div, and given my <ul> its own style.
<div id="navcontainer">
<ul id="navlist">[+wf.wrapper+]</ul>
</div>
3.Then in your wayfinder call would look like this
[[Wayfinder? &startId=`39` &outerTpl=`wfOuterMenu` &rowTpl=`wfRow` ]]
The &outerTpl=`wfOuterMenu` would use the chunk we just created, the start id for wayfinder is 39, its also using &rowTpl=`wfRow` - this is just another chunk that looks something like
<li><a href="[+wf.link+]" title="[+wf.title+]">[+wf.linktext+]</a>[+wf.wrapper+]</li>
The chunk names (i think) can be called anything (as long as it exists) so you could have
&outerTpl=`ThisIsMyChunk`
The placeholders or template chunks can be found in the documentation, but have listed them below, but please check the wiki at
http://wiki.modxcms.com/index.php/Wayfinder for examples on how you use them within your chunk.
&outerTpl
&rowTpl
&parentRowHereTpl
&hereTpl
&innerTpl
&innerRowTpl
&innerHereTpl
&activeParentRowTpl
&categoryFoldersTpl
So if you wanted class="folder" on all your <li> tags add this call to wayfinder &rowTpl=`wfRow` and then create a chunk called wfRow and inside add
<li class="folder"><a href="[+wf.link+]" title="[+wf.title+]">[+wf.linktext+]</a>[+wf.wrapper+]</li>
Hope it helps a bit, feeling your pain.
Simon