Not too difficult. There are commercial modules that do this and sometimes you can pick them up cheap on E-bay. **broken link removed**
To build one you basically run the current loop through a low value resistor say 100 ohms. That will give you a .4 to 2 volt measurement signal to work with. Run this to a instrumentation type op-amp to buffer the signal and with an additional op-amp, add the gain and add a negative offset voltage to finally end up with a 0-10 volt output measurement range.