Add mark-up after/before link in wp_list_categories

one possibility – add a filter to functions.php of your theme:

add_filter ( 'wp_list_categories"https://wordpress.stackexchange.com/questions/58006/,"span_before_link_list_categories' );

function span_before_link_list_categories( $list ) {
$list = str_replace('<a href="https://wordpress.stackexchange.com/questions/58006/,"<span>&#124;</span><a href=",$list);
return $list;
}