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One way to obtain \mathbf{i} instead of just i is to use a string replacement.

To also get the real part before the imaginary part, why not use a little helper function.

The following might do what you want.

def latex_of_complex(z):
    r"""
    Return a LaTeX string for this complex number.

    EXAMPLE::

        sage: latex_of_complex(0)
        0
        sage: latex_of_complex(2)
        2
        sage: latex_of_complex(4*i)
        4 \mathbf{i}
        sage: latex_of_complex(7 + 8*i)
        7 + 8 \mathbf{i}
    """
    if z == 0:
        return LatexExpr('0')
    a = z.real()
    b = z.imag()
    if b == 0:
        return latex(a)
    s = (latex(a) + ' + ') if a else ''
    return LatexExpr(s) + latex(b * i).replace('i', r'\mathbf{i}')

Now use latex_of_complex instead of latex to latexify complex numbers with the requested customization.