The trick is to jam the code all together in the HTML post editor. At least that's how I do it.

So instead of this:

[ul]
[li] list [/li]
[li] list [/li]
[li] list [/li]
[/ul]

Delete the returns between the list items so it looks like this:

[ul] [li] list [/li] [li] list [/li] [li] list [/li] [/ul]

But with angle brackets, of course. I can't get DW to show the raw code without actually turning it into a list.