CSS in Link Categories?

Hello there! I love this community, so helpful.
Ok, this is my question. I had made a LINKS page but made it without having wordpress manage it because I wanted headers for each of my link categories. like so
But I thought there must be a way to work around this. I’d love for my links to be managed by wordpress as well. But what I need is a way for my Link Categories to have a css class I specified. But all it does is list links as

<li id=”category”>category

• link 1

like this
Must be something i’m missing? Or maybe there is a plugin?
thanks!