I’ve been building progress indicators with <ol>s for a while now, but an even better idea is to throw a <strong> tag around the current <li>, that way the current step is also bolded with styles turned off:

That presumes that the browser has a default stylesheet, that that stylesheet styles strong emphasis as bold and that the user is able to see the bold text.

I’m not saying using <strong> is a bad idea (it’s not), but I don’t quite agree with the reasoning.