One more note when using a bench power supply as a current source: There are big capacitors at the output of the power supply, near the power supply terminals. These capacitors are usually out of the control loop. As a result, when a load is suddenly connected, the current can go as high as the internal resistance of the output capacitors (and the resistance of the load) allow.
As an example, you can easily fry a LED if you set your power supply at 20V/20mA, then connect the LED (without any series resistor). The energy accumulated by a few thousands microfarads at 20V, combined with the low series resistance of the given electrical circuit, is enough to push a spike of tens or even hundreds of Amps through the LED.