WP7.8+ are wonderful devices with very poor/little app support or any support for that matter.
I am a little puzzled as to why SE hasn't released an authenticator for it. I could understand if we were talking about Steam or something along those lines, but, yeah.

For those of you with WP7.8+ there might be an alternative, in the meantime.
You could try using an Android emulator such as Bluestacks and download the app from the Market Place for Android, then run it and follow the setup instructions.
Be sure to save your special code/password in case of an emergency (Typically write it down or save it to an email account that's secured).

This is the way I have my authenticator setup currently. Have since the app became available and haven't had any issues.