Wordpress - wp_nav_menu(), how to change <li> class?

Use a custom walker, remove anything you don’t need and add your classes. Here is a walker I use to get a list with clean markup: T5_Nav_Menu_Walker_Simple.

Your could also filter 'nav_menu_css_class' or 'wp_nav_menu_items'. But a walker class is easier to understand and to control in my opinion.

go to appearance > menus - select the menu you want - go to "screen options" at the top right, select "css classes" - add a class to each menu item..

Setting the <li> class to nav-link, as bootstrap 4.3 needs it:

function add_menu_link_class($atts, $item, $args)
{
    $atts['class'] = 'nav-link';
    return $atts;
}
add_filter('nav_menu_link_attributes', 'add_menu_link_class', 1, 3);

You can also unset the id attribute in that array.