Unfortunately, there is no way to do this just with native functions: WP is … request agnostic and produces always links to the current page (nav manus, list pages …).

Also, you cannot use a filter, because `wp_link_pages()` has no appropriate filter.

In my themes, I use an own function, based on [this code][1]. It is probably too long to post it here, so I put it as a plugin on GitHub: [Logical Page Links][2].  
You may use the plugin as is or copy the code into your theme.

The resulting markup will look like this:

    <p class="pager"> 
      <b title='You are here.'>1</b>  
      <a class=number href='http://example.com/page/2/'>2</a> 
    </p>

The `<b>` marks the current page, you can style it via:

    .pager b
    {
        color:      #fff;
        background: #111;
    }

More features are listed in the readme of the plugin.

  [1]: http://playground.ebiene.de/2554/wordpress-pagebar-pluginlos/
  [2]: https://github.com/toscho/Logical-Page-Links