So many issues here.

1. The assumption that anyone simply picks beliefs based on their perceived utility is utterly baseless. In fact the opposite is often true - people find themselves believing something despite knowing its implications are dangerous to their well-being.

2. Your comparison to the boat is flawed. Naturalism doesn't just reject the search for the life jacket. It rejects the entire reality of the boat in the first place. Only theists see us in need of rescue. Naturalists believe we will die, of course, but would never concede that there is an alternative.

3. You have falsely limited the options here. A naturalist argues that we actually have no reason to believe that utility goes on after death, and the best response the theist has is "well, what if it did"? Well, what if the creator of the universe was a sadistic beast who took pleasure in eternally torturing those who believed in his existence? Or what if paganism is true and the whole system rests on the whims of all-too-human gods who don't care what we believe? Or what if Hinduism is true and we are reincarnated based on our life deeds? It seems that if we are seeking to maximize utility beyond what we all perceive to be its end rather than during the period we can all agree it exists, we don't have any logical basis to believe we know what would maximize such utility.