You would probably form it like any other - in the feed.
If the feed is being dynamically generated, you'd have to change the code to use an ad rotator to put the ad as an - every X item's.
The other thing would be to put an ad in every post, but that might tick off the people using the feed. 1 ad every 5 or 10 posts shouldn't anger too many people. I believe that is what Lockergnome does, but sometimes it is hard to tell an ad from a post here, which is the best form of advertising.
I am not familiar with WordPress, so i have no idea how you'd accomplish this in theat system.
General