Designing high current test set up
Check the datasheet of the resistors and see the maximum power that can be dissipated by them. 

So for example the 20 mili Ohms resistor has a power rating 0.25 Watts (which is a typical number for normal cheap resistors that you would find), so if 20 Amps of current flows through it, we have a power dissipation of 8 watts (I^2 * R = 20*20*0.020 = 8 watts) which is above the permissible limits. So check the datasheet of the resistor used or consider 0.25 watts to be the limit. So in this case your resistor wont be able to bear that much current first of all. Therefore check the power rating of the resistor before using it.

And I looked at the XFR 12-220 device data sheet and it already has a current limiter in it as far as I checked. So you can set the maximum current that can be flown in using the device itself so you do not need an additional circuitry for this, this allows you to increment the current using the programmable DC supply itself. Read the datasheet and you would get a better idea.