This is easily accomplished with a render function.
Vue.component("comp", {
render(h){
let links = this.$slots.links.map(l => h('li', {class: "comp-item"}, [l]))
return h('ul', {class: 'comp'}, links)
}
})
Here is a working example.
Or with the help of a small utility component for rendering vNodes you could do it like this with a template.