Is <p> semantically correct within an <li> element

I'm marking up a series of knowledge base how-to type articles which have a series of steps and associated screenshots. In the past I have always wrapped text within a list item within paragraph tags but I'm wondering if this is semantically correct in this case or if I should be using a heading tag (or even nothing). I'm tempted to mark it up as follows:

<ol class="kbarticle">
        <li>
            <p>Download the Windows client software <a href="">here</a>.</p>
            <a href="#screenshot1"><img src="screen1.jpg" 开发者_开发百科alt="Step 1" /></a>
        </li>
        <li>
            <p>Double click the downloaded file and click "Next" to continue.</p>
            <a href="#screenshot2"><img src="screen2.jpg" alt="Step 2" /></a>
        </li>
<ol>

Additionally, if there are any HTML5 elements which would be more semantically correct, I'd love to know.

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Yes, it's valid. LI is defined as

<!ELEMENT LI - O (%flow;)*             -- list item -->

and %flow is defined as

<!ENTITY % flow "%block; | %inline;">

and %block naturally contains P, as it's a block level element.

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I'd say that more often than not, the <p> tags are superfluous and the <li> tags alone are sufficient, but it's a fine call, and I don't think what you're doing is really harmful.

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According to this answer, li's can contain block or inline elements (from the HTML4 spec).

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Here’s one way you could mark it up using <figure>:

<ol class="kbarticle">
  <li>
    <figure>
      <a href="#screenshot1"><img src="screen1.jpg" alt="Step 1"></a>
      <figcaption>
        Download the Windows client software <a href="">here</a>.
      </figcaption>
    </figure>
  </li>
  <li>
    <figure>
      <a href="#screenshot2"><img src="screen2.jpg" alt="Step 2"></a>
      <figcaption>
        Double click the downloaded file and click "Next" to continue.
      </figcaption>
    </figure>
  </li>
</ol>