Adding an tag to a list with jQuery

I am trying to add an <a> tag to a list of li with the help of jQuery.

The html looks like this:

<div class="level one">
      <ul class="kitchen-tools">
      <li class="my list"></li>
      <li class="my list"></li>
      <li class="my list"></li>
      </ul>
    </div>

I created an empty <a> tag with jQuery. Unfortunately I can’t find a way to add this <a> tag to all my <li> (I tried the jQuery append method).

 let aTag = $("a");
     $(".my list").append(aTag);

I am new to coding, so I am sure I am doing a silly mistake here. Thanks in advance.