You could also create a Wrapping Snippet, for really any tag you use frequently, in CC2015 and older or CC2020 and newer...
1. In the Snippets window, click the New Snippet button
2. Give the Snippet a name and description
3. Select Wrap selection for Snippet Type
4. For Insert Before, add <li>
5. For Insert After, add </li>
From there on out, you can highlight text and then doubleclick the Snippet in the Snippets Window to wrap it. In old versions of DW, you can set whatever keyboard shortcut you like to your Snippets. In versions after CC2015, they can only be set with Snippet Keywords which won't work with Wrapping Snippets, because the function overwrites your highlighted text instead.