If you want all your text on one layer (and I wouldn't do that until you're SURE those are the names you want, and the appearance you want), move all your text layers on the menu box so they're in one group, with no other layers in between 'em. Left click on the top-most text layer, then shift + left click the bottom-most text layer. All the text layers should now be highlighted. Then go to Layer --> Merge Layers. Boom! Done.
As for the map itself: I like the physical terrain and the river layout. The text and borders... not so much. To me, the text seems overwhelmingly dark against the terrain. Maybe go with a lighter color - a brown or dark sepia or something? The borders seem harsh and pixellated. Instead of using a solid line, why not make it a dotted or dashed one? As Troedel said, you can adjust the spacing on the brush you're using. On the brushes palette, click on Brush Tip Shape, then look for the Spacing slider at the bottom. You can play around with it to get the spacing exactly how you want it.