Are you wanting to make a sensor that outputs the signal or wanting to know how to read the signal?

If it is reading the signal you want this may help
http://www.omega.com/techref/das/4-20ma.html

If you are making you own sensor, what type and method are you planning?

Here is an article about current sources.
http://en.wikipedia.org/wiki/Current_source

And some other stuff.
http://www.sensorland.com/HowPage028.html
http://en.wikipedia.org/wiki/Current_loop