Yep, definitely a good strategy. Bear in mind that it's harder to do if the height of those list items will vary—assuming you must have the arrow. But there are workarounds, such as having a smaller arrow that is centered and is always the same height, no matter how tall the list item is ... though that might look a bit odd.
I may return when I have more information.
Definitely do that. There are lots of CSS enthusiasts here who will be happy to help.
Nice example, Paul.