The separator settings does accept HTML, so you should be able to wrap it in span tags if you want. The separator setting is on the General tab in the Breadcrumb NavXT settings page.
However, note that by default Breadcrumb NavXT generates Schema.org BreadcrumbList compliant markup, which each breadcrumb including its separator is wrapped in span tag, additionally, each breadcrumb title is wrapped in an additional span tag. This should be enough to style the separator differently from the breadcrumb titles. I recommend using your web browser’s built in inspector to try out CSS on the default markup Breadcrumb NavXT generates to see if you can come up with a solution that does not introduce more markup around the separator.
