This is more about string and array manipulation with php than a WordPress related question.
The proper way to do it would be using a repeater field instead of a single text input. Advanced Custom Fields, which seems to be the plugin you are using, has a nice repeater addon. That would let the users add as many fields as they want, change their order, delete them, etcetera. All without having to worry about writing the delimiter properly.
If using the repeater field is not an option, you can use the php function explode to convert the string into an array and then process it with a simple loop.
//The custom field
$custom_field = 'Tag 1, Tag 2, Tag 3';
//Remove the extra space after the comma
$custom_field = str_replace( ', ', ',', $custom_field );
//Convert the string to array using the comma as the delimiter
$items = explode( ',' , $custom_field );
//Print the unordered list
echo '<ul>';
foreach ( $items as $item ) :
echo "<li>$item</li>";
endforeach;
echo '</ul>';