Generally speaking, a 250 ohm resistor is the preferred value because at 4ma the voltage drop will be 1 volt and at 20ma, the drop will be 5v. From there, you use one or more op amp circuits to shift the reference voltage level and the range to suit your readout or logging equipment ranges. Other than not wanting to introduce any alternate signal paths (i.e., grounds), you will need to use a differential amp (instrumentation amp) as mentioned previously and you need to make sure that the addition of the 250 ohms will not be too much resistance for the source to be able to push the full 20ma. If it's already a long wire run or if the original load is well-over 250 ohms, there may be a problem. If you're doing this in cooperation with the original "load user", you can get things squared away. You might have to lower your resistance value substantially and kick up the gain of your op amp to keep the system working. On the other hand, if you're inserting your circuit as a clandestine monitor, shame on you.
Dean