ePage Links

Alternative for wp_link_pages to be able to specifiy wrappers for each link. Simply use enhanced_link_pages( array( 'blink'=>'<li>', 'alink'=>'</li>', 'before' => '<ul>', 'after' => '</ul>', 'next_or_number' => 'number') ); in place of wp_link_pages in your themes. If next_or_number is set to both, then pages numbers and previous/next are shown.

Download the plugin, upload to your Wordpress plugins directory and activate. Amend your template as necessary.