If you want it to change both on states (like Highlighted) and from an outside property the best solution would be to edit the RadMenu's ControlTemplate and bind the Fill of a Path with your shape to the Foreground property. Than animate it or some other visual element over it in the VisualStateManager.
Other solution is to find a Font that has suitable characters, embed it in you project and use the symbols from it in a TextBlock. I believe the arrows in the previous post should be available in the default Silverlight yet you may see just blank rectangles there.
The styles for the RadMenu can be found in the installation packages. On my computer they are located here:
C:\Program Files (x86)\Telerik\RadControls for Silverlight Q1 2011 SP1\Themes\OfficeBlack\Themes\Office\Black\Menu.xaml
You can copy the styles in your project, merge the resource dictionary in app.xaml and modify the control templates.
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