How to measure small current in high voltage environment?
Disclaimer: If you have to ask such a basic question, you should not be playing with such high voltages. But if you must kill yourself, you're doing so at your own risk. That being out of the way,

\$U = I \cdot R\$, 

Therefore, if you use a 10 kΩ resistor, 

\$U = 0.0005 \,\text A \cdot 10000\, Ω = 5 \,\text V\$. 

This is the voltage you will measure at 0.5 mA. In other words, a 10 kΩ resistor will give you 10 V per mA.

Other factors like for instance impedances at the supply or load side, can throw this number off by a significant amount, but since you have not said anything about the circuit in question, all that stuff is impossible to address. 

Best of luck. By the way, remember to write your last will before you start. Your widow will thank you for it. And consider filling in a donor card, just in case any of your organs make it through.