Here is an example of how your jQuery script
(in wp-content/themes/your-theme/js/your-scrript.js) might look:
jQuery(document).ready(function($) {
$('#nav a').last().addClass('last');
})add_action( 'wp_enqueue_scripts', 'add_my_script' );
function add_my_script() {
wp_enqueue_script(
'your-script', // name your script so that you can attach other scripts and de-register, etc.
get_template_directory_uri() . '/js/your-script.js', // this is the location of your script file
array('jquery') // this array lists the scripts upon which your script depends
);
}