you can create the link first and in there set its attributes and the wrap it
$(function(){
$.each($(".make-tel-link"), function () {
//replace all instances of '-'
var jPhoneNumber = $(this).text().replace(/-/g,'');
var link = $('<a />', {class: 'jPhoneLink', href: 'tel:'+jPhoneNumber});
$(this).wrapInner(link);
});
});
working example
Edit:
the problem in your script is here:
$('.jPhoneLink').attr('href', 'tel:'+jPhoneNumber);
you are assigning the attribute to all the elements that have that class, not the one you just created