How to wire digital voltmeter/ammeter to measure arduino battery consumption
A voltmeter measures the potential difference across two points in an electric circuit. Meaning that you need to connect the voltmeter wires to the positive (+) and negative (-) terminals to what you want to measure. So, you connect a voltmeter in parallel to your power supply. In your case the voltmeter part measures the difference across the thin black and thin yellow wires. Meaning you need to connect the thin yellow and black wires to the red and back wires of the battery. The red thin wire is there to provide power to the display. So across the black thin and red wire you need to have a supply voltage for the display. In your case the seller claims from 4-30 volts.
Current measurement however works differently, it measures the voltage difference across a small resistor to determine the current. It needs to be connected across the wire where your current is flowing. So, connected in series. In your case the thick wires are meant for current measurement. So, you connect the red thick wire to the negative terminal of your consumer and the thick black wire to the negative terminal of the battery/power supply. In this way the current across that section of wire will be measured. 
Also, as far as I remember the black thin wire and the black thick wires are connected together meaning if you decide to power the voltmeter from the same battery from which you measure current you don't have to connect the thin black wire. Also, the page you provided shows an image of how you can connect it where load will be your consumer, and DC 4-30V would be your battery.

Also, arduinos on their own don't consume much power so you might want to chose a more precise or less powerful ampere meter.