How to turn multi-value image field into a UL
You could certainly do it with a preprocess function...or you could install the Fences module and do it through the UI:


  Fences is a an easy-to-use tool to specify an HTML element for each field. This element choice will propagate everywhere the field is used, such as teasers, RSS feeds and Views. You don't have to keep re-configuring the same HTML element over and over again every time you display the field.