Is this feasible? What parts do I need?

Hello there, first post on here, registered to see if my idea can happen and if I'm doing the right stuff so far.

I would like to eventually:
-make this design as small as possible using a custom printed board
-input from a US 120v wall outlet
-have a display on the board
-potentiometer or button input for selecting heating temp

Anyway, what I am trying to do is use a PID program on an arduino board to precisely control and monitor the temperature of a coil heater. I am very familiar with PID tuning. The coil is 250w-120v and has a thermocouple(temp sensor) built into the end. Also I assume I need a SSR to control and supply power to the coil.
This is what I was looking at: 5A SSR
Input Voltage 3-32VDC Output Voltage 380VAC Switch method zero-cross turn on

I need some help putting it all together. How do I connect the thermocouple to the arduino? How would I output from the arduino to heat the coil?

To connect a thermocouple to an Arduino you should use a signal conditioning IC like the MAX31855. See this tutorial:

To turn your heater on, set the output pin controlling the SSR to HIGH. To turn it off, set it to LOW.

FYI- The SSR INPUT pins accept a dc voltage so if you use a PWM pin then you can control the duty cycle of the SSR , which I think
is more what you had in mind. You may want to map the temperature from the thermocouple chip to the analogWrite value you send to the PWM pin controlling the SSR. You'll have to throw some PID code in there somewhere but basically that is the answer to the question you were asking.

how would I go about powering it? I know the input for the coil needs to be 120v ac, but how would i power the 5-12v dc arduino with it?

Once I have the whole thing all sorted out how do I not use the arduino/make dedicated use boards?

I don't understand your question. The SSR is just a solid state version of an SPST (single pole, single throw ) relay. You simply cut the LINE (HOT) wire of any 120vac powered device, no matter what it is and connect the two ends of the wire you just cut to the output screw terminals on the SSR (they're labeled). Then you apply a dc voltage from 3V to 24V to the INPUT screw terminals
(+V,GND) and either use a digitalWrite output to drive the INPUT of the relay or PWM , as already mentioned. Since I don't know what you were asking I don't know if that answers your question.

incompl:
how would I go about powering it? I know the input for the coil needs to be 120v ac, but how would i power the 5-12v dc arduino with it?

Use a small switched-mode power supply to convert 120 VAC to 5 VDC. Something like this: