We determine the order of magnitude of E| n≤x f (n)| 2q , where f (n) is a Steinhaus or Rademacher random multiplicative function, and 0 ≤ q ≤ 1. In the Steinhaus case, this is equivalent to determining the order of lim T →∞In particular, we find that E| n≤x f (n)| ≍ √ x/(log log x) 1/4 . This proves a conjecture of Helson that one should have better than squareroot cancellation in the first moment, and disproves counter-conjectures of various other authors. We deduce some consequences for the distribution and large deviations of n≤x f (n).The proofs develop a connection between E| n≤x f (n)| 2q and the q-th moment of a critical, approximately Gaussian, multiplicative chaos, and then establish the required estimates for that. We include some general introductory discussion about critical multiplicative chaos to help readers unfamiliar with that area.