We predict that ultracold bosonic dipolar gases, confined within a multilayer geometry, may undergo self-assembling processes, leading to the formation of chain gases and solids. These dipolar chains, with dipoles aligned across different layers, emerge at low densities and resemble phases observed in liquid crystals, such as nematic and smectic phases. We calculate the phase diagram using quantum Monte Carlo methods, introducing a newly devised trial wave function designed for describing the chain gas, where dipoles from different layers form chains without in-plane long-range order. We find gas, solid, and chain phases, along with quantum phase transitions between these states. Specifically, we predict the existence of quantum phase transitions from gaseous to self-ordered phases, as the interlayer distance is decreased. Remarkably, in the self-organized phases, the mean interparticle distance can significantly exceed the characteristic length of the interaction potential, yielding solids and chain gases with densities several orders of magnitude lower than those of conventional quantum solids.