Is my stepper motor wired correctly?

Sounds right to me.

If you need more current you should try to limit it to about 30 mA since the 40 mA spec is "Absolute Maximum".

The built-in Stepper library should work. Try File->Examples->Stepper->stepper_oneRevolution. You will have to change:

Stepper myStepper(stepsPerRevolution, 8,9,10,11);

to:

Stepper myStepper(stepsPerRevolution, 31,32,33,34);

If your stepper just hums or buzzes without moving, try swapping any two wires.