In millimeter wave (mmWave) vehicular communications, multi-hop relay disconnection by line-of-sight (LOS) blockage is a critical problem, particularly in the early diffusion phase of mmWave-available vehicles, where not all vehicles have mmWave communication devices. This paper proposes a distributed position control method to establish long relay paths through road side units (RSUs). This is realized by a scheme via which autonomous vehicles change their relative positions to communicate with each other via LOS paths. Even though vehicles with the proposed method do not use all the information of the environment and do not cooperate with each other, they can decide their action (e.g., lane change and overtaking) and form long relays only using information of their surroundings (e.g., surrounding vehicle positions). The decision-making problem is formulated as a Markov decision process such that autonomous vehicles can learn a practical movement strategy for making long relays by a reinforcement learning (RL) algorithm. This paper designs a learning algorithm based on a sophisticated deep reinforcement learning algorithm, asynchronous advantage actor-critic (A3C), which enables vehicles to learn a complex movement strategy quickly through its deep-neural-network architecture and multi-agent-learning mechanism. Once the strategy is well trained, vehicles can move independently to establish long relays and connect to the RSUs via the relays. Simulation results confirm that the proposed method can increase the relay length and coverage even if the traffic conditions and penetration ratio of mmWave communication devices in the learning and operation phases are different.