FCK Editor <ul> stylizing issue in Joomla

Hi

I am using FCK Editor in Joomla.The Editor looks Good.
However I am facing a problem while adding a class to ul/li.

The class I am using looks like this
.mylist{ list-style-image: url(/images/checkmark.gif) }

After adding content in fckeditor I used to apply "mylist" class to the selected text.
But everytime I used to apply the mylist class the selected text in every <li> tag used to get wrapped in <p> as shown below

<ul>
<li><p class="mylist">Link1</p></li>
<li><p class="mylist">Link2</p></li>
<li><p class="mylist">Link2</p></li>
</ul>

instead of

<ul>
<li>Link1</li>
<li>Link2</li>
<li>Link2</li>
</ul>

Though I have Googled for solutions, but most of them didnot address this issue.
Any help in this regard will be highly appreciated.