I wonder if the continuous form is appropiate in this sentence or should I use the present perfect:

We have not been smoking since 9.00.
We have not smoked since 9.00.
I much prefer the latter, because you are bragging of a withheld act; if it were in the affirmative, I would choose the former.
Yes. I agree with Mr. Micawber, but let me add something.
With the first version (continuous), there is a risk that it is the "since" clause that is being negated, so that a possible interpretation is as shown below.

We have not been smoking since 9:00. We've been smoking since 7:30!!

To my ear the second version (non-continuous) is less susceptible to such a misinterpretation.