The only way to do it is through an addon from ckeditor . The plugin you want is here
http://ckeditor.com/addon/liststyle
Instructions from the pixel and tonic site on how to add a plugin to Wygwam
http://docs.pixelandtonic.com/wygwam/developers/ckeditor_plugins.html
It not very clear so here are more detailed instructions
Adding CKEditor Plugins to Wygwam
Thanks Brian
