So I actually figured out a way to do that:

In case anyone has this same question/problem just add this code:

<script>
var list = { letters: [] };
jQuery(".sf-field-category > ul").children("li").each(function(){
  var itmLetter = jQuery(this).text().substring(0,1).toUpperCase();
  if (!(itmLetter in list)) {
    list[itmLetter] = [];
    list.letters.push(itmLetter);
  }
  list[itmLetter].push(jQuery(this));
});
list.letters.sort();
jQuery(".sf-field-category > ul").empty();
jQuery.each(list.letters, function(i, letter){
  list[letter].sort(function(a, b) {
    return jQuery(a).text().toUpperCase().localeCompare(jQuery(b).text().toUpperCase());
  });
  var ul = jQuery("<ul/>");
  jQuery.each(list[letter], function(idx, itm){
    ul.append(itm);
  });
  jQuery(".sf-field-category > ul").append(jQuery("<li/>").append(jQuery("<label/>").attr("name", letter.toLowerCase()).addClass("title").html(letter)).append(ul));
});
</script>