You can format it using CSS and adding an image as the background of the css properties. I have something similar in my template, except it is a little “chat” bubble that shows up next to the link that is current. I could have easily made it appear for all page links via css. Create a small “|” graphic and use that.
Here is the code for mine:
#nav ul li.current_page_item a {
display: block;
text-decoration: none;
color: #FF6600;
line-height: 33px;
font-size: 16px;
padding-top: 0;
padding-right: 10px;
padding-bottom: 0;
padding-left: 35px;
font-weight: bold;
margin: 0px;
border-bottom-width: 2px;
border-bottom-style: solid;
border-bottom-color: #FF6600;
background-image: url(images/icon_menu.png);
background-repeat: no-repeat;
background-position: 0px 4px;
}
Hope this helps.