Follow the example that you linked to however instead of the line:
return '<div class="breadcrumb">'. implode(' » ', $breadcrumb) .'</div>';
Put:
// wrap last array element in a span
end($breadcrumb);
$breadcrumb[key($breadcrumb)] = '<span>'.$breadcrumb[$key].'</span>';
// now loop each item and build a ul
$out = '<ul class="breadcrumb">';
foreach($breadcrumb as $item) {
$out .= '<li>'.$item.'</li>';
}
return $out .= '</ul>';