Making terms as a list format
The template file you're looking for is field.tpl.php. The naming suggestions for this template are explained fairly well here and here - although they aren't in the documentation and I haven't tested them. So the steps you need to take are:


Copy the .tpl.php file from modules/field/theme 
Rename it so it
targets only the field type you wan't ('list_text' I think in your
case).
Change the divs into ul/ol and li as required.