I assume that "long boat" refers to the particular type of Thai boat, rather than an unspecified type of boat that happens to be "long". If so, then I would be tempted to write "longboat". This avoids the risk of the "boat which happens to be long" interpretation, which is a slightly odd thing to say here (normally you would say "large boat").
"along" is fine: you made a journey along the river.
"at" is possible in the sense that Chao Phraya River is a geographic location. You might use "at" if you were describing a longer journey ("They got the bus to X, then took a longboat at Chao Phraya River which carried them all the way to Y").
"on" is also possible but not terribly likely. To me, it tends to suggest a big wide river, and possibly a recreational trip. In this sense I think I'd usually say "out on" ("They took a longboat out on the river").
"in" does not sound right to me.