You can connect it exactly like this. I'm using female-female jumper wires and have soldered pins onto the UNO clone to enable me to do this.
Pins on sensor from left to right A0 - D0 - GND - VCC
You can also find the wiring diagram on-line for a barebones sensor if you've not got the sensor module.
You can either use the D0 output pin to turn on an LED in the presence of gas / smoke or you can use the A0 to report a gas / smoke level.
The code in my other reply is for the analogue reporting of the sensor value. The Digital output is either on or off and the potentiometer on the back of the sensor will adjust the point at which the D0 pin report a High output level, if it's not set right then the D0 pin won't actually output a voltage.