Problem
I have a menu which uses wp_nav_menu and I need to add a class to the first item because my menu items have a left border on them. I don’t want the first item to show a border.
Solution
WordPress is just so easy to use. This may not have been in previous versions, but as of 3.3.1 at least there is a way to add a class to each menu item through the interface. Go to Appearnace->Menus. At the top, click on Screen Options and check “CSS Classes”. Now you can expand a menu item and add a class in there.
Thanks to: http://www.sandboxdev.com/2010/09/23/howto-add-custom-classes-to-individual-items-wp_nav_menu/