I have a sidebar list of links in my wikispace theme that currently uses jQuery to apply a class to each of the sidebar links based on the URL after the .com/. You can see
Online demo: http://jsbin.com/otapo
Paste a test-url into the textbox on that demo page to see it select the corresponding link. Change the textbox value to a new test-url to see it deselect any selected links, and select the new link that corresponds to the url provided.
var loc = window.location.split("/").slice(-1);
$("a.selected").removeClass("selected");
$("a[href$='"+loc+"']").addClass("selected");
This particular example here requires some explaining. Normally I would change this logic, and look for siblings, but considering the fact that you're interested in wrapping each link in an LI, these links wouldn't be siblings anymore.
I could write this to work with parent LI's around each link, but then I'm not sure if you would test it immediately with parent LI's, and think that it doesn't work. That being said, if you implement the following solution, you could improve this solution. In its current state (not very pretty), it will work either way.
$(".WikiCustomNav").wrapInner("
").find("a").wrap("");