I've seen it before but can't find the standard solution anymore for creating starting[list]<li> tags after a first element and end tag </li></ul> after the last element of a list.

what I want is looping over an array of anchor tags and convert these anchors in a list of anchors where the first element is nested with all the sibling tags.

input:
    <tr><td><a>first</a><a>2</a><a>3</a><a>4</a><td></tr>
    <tr><td><a>first</a><a>2</a><a>3</a><a>4</a><td></tr>

output[list]
    <li>
        <a> first <a/>
        [list]<li><a>2</a><a>3</a><a>4</a></li></ul>
    <li>
    <li>
        <a> first <a/>
        [list]<li><a>2</a><a>3</a><a>4</a></li></ul>
    </li>
</ul>

I think I can do this with first selecting the first a element and then loop over all its next siblings but don't know if this is the right way to do it. I thought there was also a way where you only loop over all the a tags

First you need to change your mindset. You don't create start tags and end tags in XSLT - you create nodes structured as a tree. (In fact you seem to be using the word "tag" interchangeably (a) in its correct sense where[list] and </ul> are two separate tags, a start tag and an end tag, and (b) incorrectly as a synonym for "element".)

In your particular example the solution is actually quite straightforward:

<xsl:template match="td">
  <li><xsl:copy-of select="a[1]"/></li>
  [list]<li><xsl:copy-of select="a[position() > 1]"/></li></ul>
</xsl:template>

Some similar problems are much more difficult, especially in XSLT 1.0: search for "XSLT positional grouping" for details.

Michael Kay
http://www.saxonica.com/
Author, XSLT Programmer's Reference and XPath 2.0 Programmer's Reference