Easiest way for me is to use Unicode Characters and then style them with span tags. I'm going to use inline css for the sake of the example, but you can do it whatever way you prefer.
eg. When I want to use a square bullet and control its color and size:
<li style="list-style:none;"><a href=""><span style="font-size:x-small;vertical-align:middle;">█</span> HOME</a></li>
You can find lots of unicode bullets here:
I do this because linking images for bullets seems a little unnecessary to me.