I have a load cell connected to my Uno as in my attached picture.
I am using a 10k resistor which I know is too large but I have to wait until I can get a hold of small resistors.
Can anyone tell me if I am connecting it up correctly?
Your schematic looks OK. Does the circuit work?
The INA125 includes a stabilized voltage reference that can be used to power bridge sensors, but the INA128 is a better amplifier, with lower offset and bias current.
If you're ordering the resistors to set the gain then what you really want is a multiturn pot in the 100-500 ohm range. You really need to be precise in the gain setting to get the best precision from the gauge.