You don't need to connect the Uno TX to the GPS RX for initial testing. If you do connect Uno TX to GPS RX make sure that the GPS RX can tolerate 5V, otherwise you need to drop the voltage to 3.3V or less.
A TinyGPS++ tutorial page.
You create an instance of SoftwareSerial and set the pins in the constructor.
#include <SoftwareSerial.h>
SoftwareSerial mySerial(RX, TX); // pick any 2 unused digital pins (not pins 0 or 1)
Don't forget the begin in setup()
mySerial.begin(9600); // 9600 is the default baud rate for my Neo6m units
See the above linked tutorial and the examples from the library to see how to feed TinyGPS with the serial input.