Append horizontal rule to each <li>

jQuery Solution

Just realized that you wanted to nest the hr element inside the li before you close it, yes it's perfectly valid, so simply use append(), and note, you cannot do this using CSS only, as you cannot modify DOM using CSS, you need to use jQuery or JS

jQuery("ul li").append("<hr />");

Demo

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CSS Solution

If you don't need an extra element, or you don't want a jQuery solution(As you want)

Using hr element as a direct child to ul element is not a valid markup, instead, you can use a border-bottom for each li which will behave same as hr does, still if you want an explicit way to do so, say for controlling the width of the separator without changing the width of li than you can do it like this

Demo

ul li:after {
    content: "";
    display: block;
    height: 1px;
    width: 40%;
    margin: 10px;
    background: #f00;
}

Here, am just creating a virtual block level element, which doesn't actually exists in the DOM, but it will just do the thing which you need. You can just design the element, the same way you style a normal div. You can also use border on this but to keep the thin line horizontally centered, I've assigned height: 1px; and than am using margin to space up.

You can use like this:

<ul>
   <li></li>
</ul>
<hr/>

Thats simple. If you have nested ul and li then you use li instead of <hr/> or simply <hr/> inside a <li></li> tag. See below. Its purely your choice.

<ul>
  <li>
    <ul><li></li></ul>
  </li>
  <li style="height:1px;border:solid 1px #666"> </li> // or you can also use 
  <li><hr/></li>
  <li> 
    <ul>
      <li></li>
    </ul>
  </li>
</ul>

I think it's better to use CSS for this. for example you can stop using <hr> tag, instead do something like:

<ul class="mylist">
    <li>
        moooo!
    </li>
    <li>
        maaaaa!
    </li>
    ...
</ul>

and then with CSS:

.mylist li { border-bottom: 1px solid black; }

There are other options too, for example if you want to show the horizontal line only for some list items, you can give them a class and add a CSS rule only for that class. like this:

<ul class="mylist">
    <li class="hr">
        moooo!
    </li>
    <li>
        maaaaa!
    </li>
    ...
</ul>

and CSS:

.mylist li.hr { border-bottom: 1px solid black; }