Hi John,
This is unfortunately not yet possible. I suppose an option in message codes that output a link to specify the CSS "class" would suffice for this. I've added this to suggestions. I'm working on a major update (incl. several features) after which it will be a lot easier for me to continue adding even more features.
If you want to apply a CSS class to ALL of your ListMail links you would have to manually edit the "processmsg" function of admin.php (search for "function processmsg"). If you need further assistance with that let me know and I will go through it line-by-line with you.
Regards