We consider the control of a commercial multi-zone refrigeration system, consisting of several cooling units that share a common compressor. The goal is to minimize the total energy cost, using real-time electricity prices, while obeying temperature constraints on the zones. We propose a variation on model predictive control to achieve this goal. When the right variables are used, the dynamics of the system are linear, and the constraints are convex. The cost function, however, is nonconvex. To handle this nonconvexity we propose a sequential convex optimization method, which typically converges in fewer than 5 or so iterations. We employ a fast convex quadratic programming solver to carry out the iterations, which is more than fast enough to run in real-time. We demonstrate our method on a realistic model, with a full year simulation, using real historical data. These simulations show substantial cost savings, and reveal how the method exhibits sophisticated response to real-time variations in electricity prices. This demand response is critical to help balance real-time uncertainties associated with large penetration of intermittent renewable energy sources in a future smart grid.