Maxim is useful.
Helpful.
http://www.datel.com/data/meters/dms-an20.pdf
Basically as redleader states put a resistor in series and measure the voltage across it. A 250ohm will give 1-5V, if the transmitter can handle the voltage required to generate 20mA through this shunt.
The method suggested by Maxim in the link above is nicer though, if you feel like making a proper circuit.