Put the icons inside the anchor tags:
<ul>
<li class="dropdown">
<a href="#" class="dropdown-toggle" data-toggle="dropdown">Some Dropdown<b class="caret"></b></a>
<ul class="dropdown-menu">
<li><a href="#"><i class="icon-arrow-up"></i> Up</a></li>
<li><a href="#"><i class="icon-arrow-down"></i> Down</a></li>
<li><a href="#"><i class="icon-arrow-left"></i> Left</a></li>
<li><a href="#"><i class="icon-arrow-right"></i> Right</a></li>
</ul>
</li>
</ul>
<script src="https://ajax.googleapis.com/ajax/libs/jquery/2.1.1/jquery.min.js"></script>
<script src="https://netdna.bootstrapcdn.com/twitter-bootstrap/2.3.1/js/bootstrap.min.js"></script>
<link href="https://netdna.bootstrapcdn.com/twitter-bootstrap/2.3.1/css/bootstrap-combined.min.css" rel="stylesheet"/>