The secret is the "Indent to here" character (available via the contextual menu or cmd-\).

Or a plus and minus left indent setting on style sheets/format. For example, if the bullet was to hang 2mm outside the left margin of the body text, all body text would be indented 2mm while bullet text would be lefthand indent 2mm, first line indent -2mm. With numerals (especially those that go above 10) you might want to include a right aligning tab so that they all align on the righthand side.
This will mean that your text box should start 2mm before your lefthand margin and be 2mm wider than your measure.
For shorter pieces of text (or for working out your layout) the indent to here character would solve the problem too.
Tim
{edit I should have added that you will need to set the bullet as this – bullet_tab_copy or in the case of right aligning numeral – tab_numeral_tab_copy}

there is actually a "cheat" to this also.
it is not recommended for longer texts but it can come in handy at times. (I use it mostly to correct the left hand positioning of two lines of headlines when big capitals seem to have a bad vertical alignment.)

before your hanging indent numeral or bullet, type a [space],
then assign a massive negative tracking to that space (i.e. -1000)
and the numeral/bullet will indeed hang from the left hand side of your text frame.
copy/paste this character ([space]) as neccessary.

best regards,
tobias

Ah,

So, unlike the hanging punctuation, there really is no "fair" way to make the bullet sit outside the text box.

The "indent to here" button I knew. Negative tracking is quite handy.

l'd still be mighty curious if someone here could find a more elegant solution to this problem.

I do what Tim says. Separate style sheet for the list as for the running text.