Sure it is a programmable power supply but all it can possibly do is to supply it's own built in resistor.
It's obvious from my previous post that the intent was a resistor bank supplying all the required currents up to 40mA so it is not pointless, just not elegant and a lot of work.It would definitely supply the currents specified but it is not the best way to do it and as I said, the circuit you linked is a smarter approach. Resistor networks and banks have been used in many applications butan op amp design is a much more elegant approach to the problem. It' s too bad the OP doesn't have a DAC. The biggest problem with that idea is the resistor values are problematic and as you progress through the required current values it becomes unworkable in that it is impossible to obtain the correct values. So , in short, it is not doable and therefore it was a bad idea. I retract my suggestion.
@OP,
You will need to do micro-stepping. Can you post the datasheet and vendor link for your stepper motor driver and stepper motor ?