This is a pretty good answer to your question:
http://www.reddit.com/r/AskHistorians/comments/1jqan6/what_did_the_romans_think_of_stonehenge/
One caveat; it is merely an interpretation that Diodorus Siculus was writing about Stonehenge.
One thing to consider is how this structure was used even during the early Roman period. We have no real evidence that it continued to be used as a religious site anywhere near the Roman time, and this would play a role in determining whether it was the site that Diodorus Siculus was speaking of.
They almost certainly knew about it. [Hadrian's Wall] (http://media.web.britannica.com/eb-media/95/19695-004-3FEBCE5D.gif) was far north of the location of Stonehenge, and Romans had been in Britannia almost a hundred years before the Wall was built. You don't conquer a territory and hold it for 300+ years without discovering or hearing about Stonehenge.
Britannia was a province for over 300 years, but I know of no Roman authors who actually mention Stonehenge. Stonehenge was built over 4000 years ago, so it definitely would've been there when Rome invaded.
Stonehenge is certainly a notable landmark, but the lack of Roman history regrading it is likely due to its lack of prosaic usefulness. For instance, in Durnovaria (Dorchester), the Romans certainly took note of the Maumbury Rings, a Neolithic site they converted to an amphitheater. And they were also keenly aware of nearby Maiden Castle, which was likely overrun by Vespasian in 43AD.
(I say "likely" because there's some disagreement about whether the hill fort was actually occupied and whether Vespasian butchered hundreds of Durotriges in a mass slaughter. After visiting the Dorchester museum and chatting with the curator I think it's certain that Maiden Castle was occupied and Vespasian did indeed overrun the fort and kill a lot of people).
So the Romans were certainly aware of very ancient large-scale Neolithic constructions in southern England. But the only ones they wrote about were the ones that they could use. Stonehenge is striking, but in the end it's a pile of rocks on a flat plain, which is nifty, but not worthy of inclusion in Roman historical records.
Not to say the discussion here is unproductive, it certainly isn't, but we really need to deal with a side issue here and that is what you mean by "Romans". While I think it is accurate to call the Romano-British "Romans", most people tend to think of Romans from Rome, or perhaps more broadly from the Mediterranean as a whole. The Roman empire was very large and diverse, and so systems of knowledge, comcepts of place value and patterns of behavior based on these varied widely across the Empire. A Roman from Britain may have venerated the stones at Stonehenge while a Roman from Italy, even a very well educated one, knew nothing about it.
Stonehenge continues to have at least some cultural significance during the roman period. We find roman coins on the grounds in patterns that suggest they were left there intentionally rather than dropped
There's a passage in Book II of Greco-Roman historian Diodorus Siculus's "Bibliotheca historica" that mentions an island to the north, "beyond the land of the Celts", that has "a magnificent sacred precinct of Apollo and a notable temple which is adorned with many votive offerings and is spherical in shape." (translated text here: http://penelope.uchicago.edu/Thayer/E/Roman/Texts/Diodorus_Siculus/2B*.html)
Some historians believe that passage might refer to Stonehenge, but it's debatable.
Side question: we're the soldiers/roman administration in Britannia generally from Rome or somewhere else in the empire? If so how long did the journey there take? And how long would they stay there
