I'm not very elegant so I would be running a String Replace function on the entire html string
Code:
Find: <LI Class=MsoListNumber>
Replace with: <LI Class=MsoListNumber><P Class=MsoListNumber>
and
Find: </LI>
Replace with: </p></LI>
Or if you didn't need the nested tags you could replace <LI and </LI> with <P and </P> respectively