Page Links To, add specific class to each page

I would look in the plugin file page-links-to.php and check out the if (highlight) statement around line 262. That adds formatting for outputting the page through wp_list_pages and can be added to or likely applied to other functions.

It seems to somewhat depend on what function you’re using to output it (a custom menu, wp_list_pages, etc) as to what modifications need to be made and where to best make them.