Add within the output of

Im currently printing out:

<?php wp_nav_menu( array( 'theme_location' => 'primary' ) ); ?>
Which outputs:

<div class="menu">
<ul>
<li class="current_page_item">Frontpage</li>
<li class="page_item page-item-2">etc</li>
</ul>
</div>

In my original HTML setup ive got an <span> within the
<li> which looks like this:

<div id="menu">
  <ul>
    <li>
      <span>
        <a href="#">Menu1</a>
      </span>
    </li>

[In future wrap all code in backticks]

Any ideas on how to adjust this?