Achei o jeito que queria em um site americano.
<?php
$day_check = '';
while (have_posts()) : the_post();
$day = get_the_date('j');
if ($day != $day_check) {
if ($day_check != '') {
}
echo '<ul>';
echo get_the_date() . '</ul>';
}
?>
<li><?php the_time(); ?> - <a href="<?php the_permalink() ?>"><b><?php the_title(); ?></b></a></li>
<?php $day_check = $day; endwhile; ?>
<?php if ( have_posts() ) : ?>
<?php endif; ?>