This is done using the /nick2 command.
First, if you are using Plus! Live then you need to make sure you have IRC style shortcuts enabled (Plus>Preferences>Customize>Enable text formatting shortcuts> Use IRC style format codes).
Then, in a conversation, type /nick2 <your name here>
Then press Ctrl+R to bring up the formatting panel, and select strikeout. Then press enter (or Send) and you should now have a strikeout in your "says:".
This also works for other formatting, i.e. you can also colour/underline it etc.
Cookie's explanation about the difference between /nick and /nick2
Edit: In Plus! Live it appears to insert two characters when you select underline/strikeout etc from the formatting panel, and you need to delete the second one for it to work.