Tips on how to create this wp_nav_menu

Hello!

I am creating my own WP theme but got stuck when I was going to change my static navigation to a wp_nav_menu. The markup is the following:

<nav>
   <ul>
      <li><a href=""><i></i>Text</a></li>
      <li><a href=""><i></i>Text</a></li>
      <li><a href=""><i></i>Text</a></li>
   </ul>
</nav>

Do I have to create a walker class in order to include the icon-tag within the a-tag? Because that seems to be a bit too advanced for me. Is there maybe an easier work-around? Any advice is appreciated!

Thanks!