Boost converter help
My objective is to create a device that will generate a constant
  current to a load that varies in resistance from approximately
  1Kohm-40Kohm


OK, so far so good.


  For the sake of this question, the current I am trying to generate is
  5mA.


5 mA through a 1 kohm load means the circuit has to supply 5 volts to the load. 5 mA through 40 kohm means 200 volts applied to the load.


  I've done a bit of reading over the last few days and the concept of a
  boost converter in its simplest form is rather straightforward.


Here's where the first hurdle is arising because a boost converter can only produce an output voltage that is greater than the input supply voltage (you specified 12 volts). If your supply is 12 volts and you want a current of 5 mA through a load that can vary between 1 kohm and 40 kohm then you need a buck-boost converter; a booster won't do what you want.

You could use a buck regulator to set a voltage at (say) 4 volts then use a booster to deliver 5 volts to 200 volts but that is pushing technology too far. I would strongly consider generating (say) 210 volts using a "booster" then using some form of linear regulation to deliver the required voltage for the correct current to the load.


  Any advice or tips would be greatly appreciated. I am looking for
  similar ways to achieve a constant current given different loads.


The type of "booster" I would use would be a step-up flyback converter like either of these two: -



So, you get a high voltage regulated DC supply and use a linear current regulator to control the current to the load. If you generate 210 volts and you need to supply 5 mA the worst case power dissipation is going to be just over 1 watt into a short circuit so you will need a small heatsink.

If you can allow your load to be floating then a fairly simple constant current sink will do what you want providing you choose an output transistor that is rated at overs 210 volts (300 volts recommended): -




  Applications in which a microprocessor can be used are helpful because
  I can choose different output currents with ease (say, 6mA instead of
  5mA)


If you want it microprocessor controlled then you could generate a PWM output and use a low pass filter to create an analogue voltage that feeds Vset.