I have searched the forum and found that adding SiteTree::breadcrumbs_delimiter = " | "; to _config.php should do the trick. However adding this line produces this error "Parse error: syntax error, unexpected '=' ".
In SiteTree the breadcrumbs_delimiter is a public static variable so does this mean that I can't just set it in my Page.ss file? Is that what static means when declaring a property in a class? I am still new to OOP so some of this doesn't make sense to me yet.
No, you can't use li's. The delimiter is simply put between the links. If you want to use list items copy the Breadcrumbs function from SiteTree.php to your Page class and alter the HTML inside that function. One day that will be spilt out to a separate include template!