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>