[r] Split code over multiple lines in an R script

You are not breaking code over multiple lines, but rather a single identifier. There is a difference.

For your issue, try

R> setwd(paste("~/a/very/long/path/here",
               "/and/then/some/more",
               "/and/then/some/more",
               "/and/then/some/more", sep=""))

which also illustrates that it is perfectly fine to break code across multiple lines.